Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Feihe Limited backtest
10 trend-following strategies were compared on the full daily history of China Feihe Limited. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.8%, MDD -22.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.5%, drawdown -88.7%).
Sharpe leader (same as main): Supertrend — CAGR 14.2%, MDD -37.8%, Sharpe 0.62, 32% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 25.8%p higher than buy and hold, while drawdown improves by 50.9%p (CAGR 9.8%, MDD -22.2%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.3 |
14.2% | -37.8% | 0.62 | 0.38 | 2.4x | 17 | 32% |
| 볼린저 밴드 돌파 n=28, k=2.7 |
9.8% | -22.2% | 0.56 | 0.44 | 1.9x | 18 | 16% |
| Donchian 채널 돌파 entryN=25, exitN=13 |
12.0% | -34.0% | 0.55 | 0.35 | 2.1x | 31 | 33% |
| ROC 모멘텀 n=143, threshold=0.1 |
9.0% | -26.2% | 0.50 | 0.34 | 1.8x | 8 | 25% |
| SMA 크로스오버 fast=20, slow=37 |
9.0% | -50.5% | 0.44 | 0.18 | 1.8x | 37 | 38% |
| ADX / DI 방향성 period=19, threshold=19 |
6.2% | -44.1% | 0.37 | 0.14 | 1.5x | 45 | 26% |
| EMA 크로스오버 fast=25, slow=53 |
6.0% | -53.3% | 0.35 | 0.11 | 1.5x | 18 | 37% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=3.9 |
3.4% | -22.2% | 0.31 | 0.15 | 1.3x | 4 | 5% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.4% | -47.8% | 0.14 | -0.01 | 1.0x | 59 | 44% |
| MACD fast=18, slow=53, signal=19 |
-7.3% | -56.6% | -0.10 | -0.13 | 0.6x | 73 | 47% |
| Buy and hold | -11.5% | -88.7% | -0.07 | -0.13 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)