Trend-Following Backtester · Guide · backtest 한국어
equity · CN
BYD Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of BYD Company Limited Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -58.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.2%, MDD -56.1%, Sharpe 0.62, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=35, exitN=45 |
16.2% | -56.1% | 0.62 | 0.29 | 9.7x | 40 | 55% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=3.7 |
11.7% | -38.2% | 0.61 | 0.31 | 5.3x | 36 | 17% |
| Parabolic SAR step=0.005, maxStep=0.14 |
15.3% | -59.2% | 0.61 | 0.26 | 8.6x | 109 | 49% |
| 볼린저 밴드 돌파 n=40, k=2.7 |
12.6% | -40.5% | 0.61 | 0.31 | 6.0x | 46 | 22% |
| Supertrend period=9, mult=2.1 |
14.6% | -58.8% | 0.59 | 0.25 | 7.8x | 151 | 51% |
| ADX / DI 방향성 period=8, threshold=34 |
10.1% | -45.0% | 0.54 | 0.23 | 4.3x | 141 | 19% |
| EMA 크로스오버 fast=12, slow=31 |
12.5% | -59.3% | 0.53 | 0.21 | 5.9x | 103 | 49% |
| MACD fast=10, slow=35, signal=13 |
11.6% | -51.3% | 0.51 | 0.23 | 5.2x | 231 | 50% |
| SMA 크로스오버 fast=28, slow=38 |
11.4% | -62.0% | 0.50 | 0.18 | 5.1x | 108 | 50% |
| ROC 모멘텀 n=23, threshold=0.09 |
9.2% | -44.9% | 0.48 | 0.20 | 3.8x | 219 | 24% |
| Buy and hold | 17.4% | -58.4% | 0.59 | 0.30 | 11.2x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 45 days