Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hubei Dinglong Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hubei Dinglong 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 21.9%, drawdown -74.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.1%, MDD -61.6%, Sharpe 0.58, 85% 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=11, exitN=57 |
17.1% | -61.6% | 0.58 | 0.28 | 13.7x | 51 | 85% |
| MACD fast=7, slow=29, signal=12 |
12.0% | -54.3% | 0.50 | 0.22 | 6.5x | 288 | 50% |
| 볼린저 밴드 돌파 n=23, k=0.8 |
9.0% | -61.9% | 0.43 | 0.15 | 4.2x | 232 | 45% |
| Supertrend period=24, mult=1.9 |
9.0% | -55.6% | 0.42 | 0.16 | 4.2x | 197 | 49% |
| Parabolic SAR step=0.015, maxStep=0.36 |
8.7% | -62.7% | 0.41 | 0.14 | 4.0x | 284 | 51% |
| ROC 모멘텀 n=18, threshold=-0.02 |
7.8% | -57.6% | 0.39 | 0.14 | 3.5x | 357 | 61% |
| SMA 크로스오버 fast=29, slow=74 |
6.9% | -64.0% | 0.37 | 0.11 | 3.0x | 64 | 58% |
| ADX / DI 방향성 period=13, threshold=14 |
5.2% | -61.2% | 0.33 | 0.09 | 2.3x | 336 | 52% |
| EMA 크로스오버 fast=59, slow=91 |
3.3% | -85.4% | 0.28 | 0.04 | 1.7x | 39 | 64% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=9, mult=2 |
1.7% | -66.3% | 0.20 | 0.03 | 1.3x | 92 | 22% |
| Buy and hold | 21.9% | -74.0% | 0.66 | 0.30 | 26.6x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 57 days