Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Resources Land Limited backtest
10 trend-following strategies were compared on the full daily history of China Resources Land Limited. 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 14.4%, drawdown -76.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -77.4%, Sharpe 0.42, 53% 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=49, exitN=43 |
8.9% | -77.4% | 0.42 | 0.11 | 9.6x | 61 | 53% |
| SMA 크로스오버 fast=34, slow=190 |
8.2% | -78.9% | 0.40 | 0.10 | 8.2x | 49 | 56% |
| EMA 크로스오버 fast=29, slow=128 |
7.2% | -77.2% | 0.37 | 0.09 | 6.3x | 59 | 57% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
5.0% | -34.4% | 0.37 | 0.14 | 3.6x | 20 | 8% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=28, mult=3.2 |
5.0% | -58.4% | 0.32 | 0.09 | 3.7x | 72 | 19% |
| ADX / DI 방향성 period=35, threshold=14 |
4.4% | -75.1% | 0.29 | 0.06 | 3.1x | 120 | 32% |
| Supertrend period=15, mult=4.6 |
3.8% | -83.2% | 0.28 | 0.05 | 2.7x | 92 | 57% |
| MACD fast=22, slow=71, signal=23 |
2.9% | -81.2% | 0.25 | 0.04 | 2.1x | 241 | 51% |
| ROC 모멘텀 n=144, threshold=0.04 |
2.6% | -92.0% | 0.24 | 0.03 | 2.0x | 265 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.2% | -87.7% | 0.18 | 0.00 | 1.1x | 215 | 53% |
| Buy and hold | 14.4% | -76.3% | 0.52 | 0.19 | 35.9x | 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 49 days
- Sell — Sell when price breaks below the lowest low of the last 43 days