Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wangsu Science & Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wangsu Science & Technology Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -55.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.2%, drawdown -82.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -55.9%, Sharpe 0.54, 25% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 26.6%p (CAGR 12.5%, MDD -55.9%, exposure 25%).
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=41, exitN=10 |
12.5% | -55.9% | 0.54 | 0.22 | 7.3x | 65 | 25% |
| 볼린저 밴드 돌파 n=61, k=2.4 |
10.5% | -65.5% | 0.48 | 0.16 | 5.4x | 41 | 26% |
| ROC 모멘텀 n=143, threshold=0.07 |
10.7% | -74.9% | 0.46 | 0.14 | 5.6x | 143 | 46% |
| EMA 크로스오버 fast=34, slow=170 |
10.6% | -76.0% | 0.46 | 0.14 | 5.4x | 29 | 50% |
| Supertrend period=11, mult=4 |
9.7% | -76.2% | 0.44 | 0.13 | 4.7x | 67 | 49% |
| SMA 크로스오버 fast=58, slow=204 |
9.4% | -66.9% | 0.43 | 0.14 | 4.6x | 26 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=2.2 |
6.9% | -75.1% | 0.37 | 0.09 | 3.1x | 66 | 31% |
| ADX / DI 방향성 period=41, threshold=11 |
6.5% | -67.9% | 0.36 | 0.10 | 2.9x | 102 | 41% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-0.1% | -69.6% | 0.19 | -0.00 | 1.0x | 378 | 49% |
| MACD fast=7, slow=26, signal=6 |
-4.2% | -82.7% | 0.07 | -0.05 | 0.5x | 452 | 51% |
| Buy and hold | 13.2% | -82.5% | 0.51 | 0.16 | 8.1x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 10 days