Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Feilong Auto Components Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Feilong Auto Components Co., Ltd. Class A. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.3%, MDD -36.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.6%, drawdown -76.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -73.6%, Sharpe 0.55, 64% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 2.6%p (CAGR 10.3%, MDD -36.4%, exposure 13%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=46, exitN=93 |
15.4% | -73.6% | 0.55 | 0.21 | 9.3x | 19 | 64% |
| 볼린저 밴드 돌파 n=27, k=3 |
10.3% | -36.4% | 0.54 | 0.28 | 4.6x | 38 | 13% |
| SMA 크로스오버 fast=19, slow=150 |
13.4% | -71.3% | 0.52 | 0.19 | 7.1x | 35 | 51% |
| EMA 크로스오버 fast=51, slow=204 |
12.8% | -74.5% | 0.51 | 0.17 | 6.6x | 15 | 49% |
| ROC 모멘텀 n=145, threshold=-0.04 |
12.4% | -75.8% | 0.50 | 0.16 | 6.2x | 139 | 59% |
| MACD fast=12, slow=50, signal=9 |
11.3% | -61.2% | 0.48 | 0.19 | 5.4x | 243 | 51% |
| Supertrend period=8, mult=1.6 |
10.2% | -68.2% | 0.45 | 0.15 | 4.6x | 245 | 49% |
| ADX / DI 방향성 period=10, threshold=38 |
8.0% | -40.1% | 0.44 | 0.20 | 3.3x | 78 | 15% |
| Parabolic SAR step=0.015, maxStep=0.22 |
7.9% | -66.9% | 0.40 | 0.12 | 3.3x | 253 | 47% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=10, mult=3.4 |
7.1% | -45.5% | 0.40 | 0.16 | 2.9x | 34 | 17% |
| Buy and hold | 12.6% | -76.2% | 0.50 | 0.17 | 6.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 46 days
- Sell — Sell when price breaks below the lowest low of the last 93 days