Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Guotai Junan International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Guotai Junan International Holdings Limited. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.8%, MDD -48.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.6%, drawdown -91.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -53.6%, Sharpe 0.43, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 6.8%, MDD -48.5%, exposure 9%).
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=25, exitN=14 |
15.1% | -53.6% | 0.43 | 0.28 | 9.6x | 82 | 36% |
| MACD fast=24, slow=39, signal=20 |
14.2% | -63.8% | 0.42 | 0.22 | 8.4x | 151 | 49% |
| ADX / DI 방향성 period=13, threshold=38 |
7.7% | -53.2% | 0.41 | 0.15 | 3.3x | 46 | 8% |
| SMA 크로스오버 fast=20, slow=35 |
11.0% | -74.6% | 0.37 | 0.15 | 5.4x | 131 | 45% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=2.3 |
6.8% | -48.5% | 0.37 | 0.14 | 2.9x | 54 | 9% |
| 볼린저 밴드 돌파 n=37, k=1.8 |
11.1% | -58.6% | 0.36 | 0.19 | 5.4x | 96 | 28% |
| Supertrend period=25, mult=2.6 |
10.1% | -67.7% | 0.35 | 0.15 | 4.7x | 120 | 39% |
| EMA 크로스오버 fast=22, slow=23 |
9.1% | -81.2% | 0.35 | 0.11 | 4.1x | 106 | 47% |
| ROC 모멘텀 n=25, threshold=0.09 |
9.8% | -74.2% | 0.34 | 0.13 | 4.5x | 222 | 21% |
| Parabolic SAR step=0.03, maxStep=0.16 |
0.2% | -84.7% | 0.21 | 0.00 | 1.0x | 381 | 46% |
| Buy and hold | 2.6% | -91.5% | 0.30 | 0.03 | 1.5x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 14 days