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 70.7%, drawdown -39.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 66.7%, MDD -42.1%, Sharpe 1.18, 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 |
66.7% | -42.1% | 1.18 | 1.59 | 71.0x | 15 | 98% |
| SMA 크로스오버 fast=48, slow=275 |
59.9% | -39.3% | 1.16 | 1.53 | 50.2x | 10 | 76% |
| EMA 크로스오버 fast=54, slow=200 |
59.9% | -45.1% | 1.14 | 1.33 | 50.2x | 8 | 83% |
| ROC 모멘텀 n=70, threshold=-0.06 |
54.5% | -45.4% | 1.07 | 1.20 | 37.6x | 102 | 78% |
| ADX / DI 방향성 period=54, threshold=5 |
44.6% | -43.4% | 0.95 | 1.03 | 21.6x | 67 | 82% |
| MACD fast=24, slow=48, signal=28 |
30.1% | -63.3% | 0.79 | 0.48 | 9.0x | 64 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=32, mult=2.4 |
21.8% | -57.6% | 0.67 | 0.38 | 5.2x | 44 | 40% |
| Supertrend period=10, mult=2.1 |
21.7% | -60.8% | 0.65 | 0.36 | 5.2x | 98 | 60% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
19.9% | -72.5% | 0.62 | 0.27 | 4.5x | 58 | 51% |
| Parabolic SAR step=0.035, maxStep=0.3 |
14.1% | -62.5% | 0.52 | 0.23 | 3.0x | 232 | 53% |
| Buy and hold | 70.7% | -39.2% | 1.21 | 1.81 | 86.6x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 69 days