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 8.4%, MDD -15.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -86.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.9%, MDD -23.4%, Sharpe 0.82, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.7%, MDD -48.8%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 62.8%p (CAGR 8.4%, MDD -15.1%, exposure 8%).
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 |
17.9% | -23.4% | 0.82 | 0.77 | 3.7x | 14 | 19% |
| EMA 크로스오버 fast=65, slow=144 |
22.7% | -48.8% | 0.78 | 0.46 | 5.1x | 4 | 39% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
19.6% | -45.5% | 0.74 | 0.43 | 4.2x | 34 | 34% |
| SMA 크로스오버 fast=33, slow=217 |
19.4% | -57.9% | 0.71 | 0.34 | 4.1x | 6 | 36% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=17, mult=1.6 |
17.4% | -48.8% | 0.69 | 0.36 | 3.6x | 42 | 31% |
| ROC 모멘텀 n=133, threshold=0.17 |
17.5% | -55.5% | 0.68 | 0.32 | 3.6x | 26 | 33% |
| Supertrend period=22, mult=2.7 |
18.8% | -57.6% | 0.66 | 0.33 | 3.9x | 48 | 47% |
| ADX / DI 방향성 period=30, threshold=26 |
8.4% | -15.1% | 0.63 | 0.55 | 1.9x | 6 | 8% |
| Parabolic SAR step=0.005, maxStep=0.38 |
17.6% | -59.2% | 0.62 | 0.30 | 3.6x | 58 | 51% |
| MACD fast=17, slow=59, signal=12 |
17.1% | -60.1% | 0.61 | 0.28 | 3.5x | 82 | 53% |
| Buy and hold | 1.0% | -86.1% | 0.30 | 0.01 | 1.1x | 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