Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Victory Giant Technology (HuiZhou) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Victory Giant Technology (HuiZhou) 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 41.2%, drawdown -60.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.4%, MDD -55.6%, Sharpe 0.78, 76% 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=43, exitN=91 |
30.4% | -55.6% | 0.78 | 0.55 | 19.6x | 16 | 76% |
| Supertrend period=21, mult=4.8 |
22.6% | -58.8% | 0.67 | 0.38 | 9.9x | 28 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
19.9% | -49.6% | 0.64 | 0.40 | 7.7x | 54 | 44% |
| EMA 크로스오버 fast=38, slow=184 |
21.1% | -66.2% | 0.64 | 0.32 | 8.6x | 24 | 69% |
| SMA 크로스오버 fast=24, slow=178 |
20.4% | -49.6% | 0.64 | 0.41 | 8.0x | 24 | 62% |
| ADX / DI 방향성 period=29, threshold=11 |
19.6% | -60.2% | 0.62 | 0.33 | 7.5x | 108 | 54% |
| Parabolic SAR step=0.015, maxStep=0.16 |
16.4% | -79.2% | 0.57 | 0.21 | 5.5x | 187 | 50% |
| ROC 모멘텀 n=130, threshold=0 |
16.7% | -61.9% | 0.57 | 0.27 | 5.6x | 120 | 64% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=2.8 |
10.1% | -37.9% | 0.53 | 0.27 | 2.9x | 20 | 8% |
| MACD fast=15, slow=59, signal=15 |
8.0% | -73.9% | 0.40 | 0.11 | 2.4x | 133 | 49% |
| Buy and hold | 41.2% | -60.8% | 0.89 | 0.68 | 48.1x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 91 days