Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Meituan Class B backtest
10 trend-following strategies were compared on the full daily history of Meituan Class B. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.5%, MDD -15.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.1%, drawdown -86.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.1%, MDD -20.2%, Sharpe 0.86, 18% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.9%, MDD -48.8%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 8.5%, MDD -15.1%, 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=91, exitN=12 |
19.1% | -20.2% | 0.86 | 0.94 | 3.9x | 13 | 18% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
22.7% | -40.6% | 0.82 | 0.56 | 5.0x | 33 | 34% |
| EMA 크로스오버 fast=65, slow=144 |
22.9% | -48.8% | 0.78 | 0.47 | 5.1x | 4 | 39% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=17, mult=1.6 |
18.9% | -48.8% | 0.74 | 0.39 | 3.9x | 41 | 31% |
| SMA 크로스오버 fast=33, slow=217 |
19.6% | -57.9% | 0.71 | 0.34 | 4.1x | 6 | 37% |
| Supertrend period=22, mult=2.7 |
20.8% | -57.6% | 0.70 | 0.36 | 4.4x | 47 | 46% |
| ROC 모멘텀 n=133, threshold=0.17 |
17.7% | -55.5% | 0.69 | 0.32 | 3.6x | 26 | 33% |
| Parabolic SAR step=0.005, maxStep=0.38 |
19.1% | -59.2% | 0.66 | 0.32 | 4.0x | 57 | 51% |
| ADX / DI 방향성 period=30, threshold=26 |
8.5% | -15.1% | 0.64 | 0.56 | 1.9x | 6 | 9% |
| MACD fast=17, slow=59, signal=12 |
18.5% | -60.1% | 0.64 | 0.31 | 3.8x | 81 | 53% |
| Buy and hold | 3.1% | -86.1% | 0.34 | 0.04 | 1.3x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 12 days