Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Muyuan Foods Group Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Muyuan Foods Group Co Ltd 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 27.3%, drawdown -65.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.4%, MDD -56.0%, Sharpe 0.75, 78% 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=88 |
24.4% | -56.0% | 0.75 | 0.44 | 15.6x | 17 | 78% |
| SMA 크로스오버 fast=42, slow=108 |
21.8% | -58.0% | 0.74 | 0.38 | 12.0x | 28 | 53% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
18.6% | -45.8% | 0.73 | 0.41 | 8.5x | 60 | 38% |
| ADX / DI 방향성 period=31, threshold=11 |
17.6% | -58.1% | 0.65 | 0.30 | 7.7x | 103 | 53% |
| Parabolic SAR step=0.015, maxStep=0.1 |
16.3% | -53.6% | 0.64 | 0.30 | 6.7x | 193 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=26, mult=2 |
15.3% | -45.5% | 0.64 | 0.34 | 6.0x | 54 | 37% |
| EMA 크로스오버 fast=68, slow=220 |
17.7% | -69.0% | 0.63 | 0.26 | 7.8x | 14 | 59% |
| Supertrend period=20, mult=2 |
15.4% | -58.9% | 0.61 | 0.26 | 6.1x | 141 | 52% |
| ROC 모멘텀 n=98, threshold=0.1 |
15.2% | -63.5% | 0.60 | 0.24 | 5.9x | 106 | 43% |
| MACD fast=19, slow=40, signal=19 |
12.1% | -50.1% | 0.53 | 0.24 | 4.2x | 131 | 51% |
| Buy and hold | 27.3% | -65.1% | 0.77 | 0.42 | 20.8x | 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 88 days