Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Central New Energy Holding Group Limited backtest
10 trend-following strategies were compared on the full daily history of Central New Energy Holding Group Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 70.0%, drawdown -39.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 66.1%, MDD -42.1%, Sharpe 1.17, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 98% entryN=1, exitN=69 |
66.1% | -42.1% | 1.17 | 1.57 | 71.8x | 15 | 98% |
| SMA 크로스오버 fast=48, slow=275 |
59.2% | -39.3% | 1.16 | 1.51 | 50.2x | 10 | 75% |
| EMA 크로스오버 fast=54, slow=200 |
59.2% | -45.1% | 1.13 | 1.31 | 50.2x | 8 | 82% |
| ROC 모멘텀 n=70, threshold=-0.06 |
53.4% | -45.4% | 1.05 | 1.18 | 36.7x | 106 | 78% |
| ADX / DI 방향성 period=54, threshold=5 |
43.9% | -43.4% | 0.95 | 1.01 | 21.4x | 69 | 81% |
| MACD fast=24, slow=48, signal=28 |
29.7% | -63.3% | 0.78 | 0.47 | 8.9x | 65 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=32, mult=2.4 |
21.5% | -57.6% | 0.66 | 0.37 | 5.2x | 44 | 40% |
| Supertrend period=10, mult=2.1 |
21.5% | -60.8% | 0.65 | 0.35 | 5.2x | 98 | 60% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
19.7% | -72.5% | 0.62 | 0.27 | 4.5x | 58 | 51% |
| Parabolic SAR step=0.035, maxStep=0.3 |
13.7% | -63.4% | 0.52 | 0.22 | 3.0x | 233 | 53% |
| Buy and hold | 70.0% | -39.2% | 1.21 | 1.79 | 87.5x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 69 days