Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Shenzhou International Group Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Shenzhou International Group Holdings Limited. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.2%, MDD -35.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.9%, drawdown -83.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.1%, MDD -36.6%, Sharpe 0.74, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.5%, MDD -53.7%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 14.2%, MDD -35.4%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=45, k=2.9 |
13.1% | -36.6% | 0.74 | 0.36 | 13.0x | 40 | 20% |
| ADX / DI 방향성 period=32, threshold=21 |
11.3% | -21.9% | 0.69 | 0.52 | 9.3x | 36 | 19% |
| Donchian 채널 돌파 entryN=108, exitN=44 |
14.2% | -35.4% | 0.67 | 0.40 | 15.7x | 28 | 41% |
| SMA 크로스오버 fast=46, slow=80 |
15.5% | -53.7% | 0.66 | 0.29 | 20.1x | 66 | 54% |
| EMA 크로스오버 fast=56, slow=208 |
14.9% | -51.3% | 0.63 | 0.29 | 17.9x | 24 | 63% |
| Supertrend period=28, mult=5 |
14.2% | -58.9% | 0.61 | 0.24 | 15.7x | 44 | 58% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=3.4 |
9.5% | -41.1% | 0.58 | 0.23 | 6.6x | 36 | 20% |
| ROC 모멘텀 n=105, threshold=0.11 |
10.2% | -53.5% | 0.53 | 0.19 | 7.5x | 174 | 36% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.9% | -73.9% | 0.18 | 0.01 | 1.2x | 166 | 53% |
| MACD fast=14, slow=28, signal=13 |
-5.4% | -80.9% | -0.05 | -0.07 | 0.3x | 330 | 50% |
| Buy and hold | 12.9% | -83.1% | 0.50 | 0.16 | 12.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 45-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 45-day middle average