Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yihai Kerry Arawana Holdings Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yihai Kerry Arawana Holdings Co. Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -22.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.0%, drawdown -84.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -23.7%, Sharpe 0.52, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 60.3%p (CAGR 5.3%, MDD -22.5%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=22, threshold=0.1 |
9.5% | -23.7% | 0.52 | 0.40 | 1.7x | 30 | 9% |
| Donchian 채널 돌파 entryN=49, exitN=1 |
6.1% | -22.8% | 0.45 | 0.27 | 1.4x | 20 | 4% |
| ADX / DI 방향성 period=20, threshold=39 |
5.4% | -24.7% | 0.44 | 0.22 | 1.4x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=14, mult=2.9 |
5.3% | -22.5% | 0.38 | 0.23 | 1.4x | 6 | 4% |
| Supertrend period=9, mult=4.6 |
4.2% | -60.7% | 0.29 | 0.07 | 1.3x | 16 | 31% |
| 볼린저 밴드 돌파 n=17, k=1.5 |
4.0% | -40.9% | 0.28 | 0.10 | 1.3x | 63 | 25% |
| EMA 크로스오버 fast=6, slow=31 |
-4.1% | -64.1% | -0.03 | -0.06 | 0.8x | 49 | 33% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.5% | -69.0% | -0.04 | -0.07 | 0.8x | 46 | 37% |
| MACD fast=15, slow=27, signal=17 |
-8.8% | -70.9% | -0.20 | -0.12 | 0.6x | 63 | 50% |
| SMA 크로스오버 fast=33, slow=161 |
-4.6% | -26.4% | -0.42 | -0.18 | 0.8x | 6 | 16% |
| Buy and hold | -12.0% | -84.0% | -0.16 | -0.14 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 22-day return is greater than 10%
- Sell — Sell when the 22-day return drops to 10% or below