Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Pudong Development Bank Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Pudong Development Bank Co., Ltd. Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -31.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.1%, drawdown -76.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.8%, MDD -38.2%, Sharpe 0.55, 22% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 5.3%, MDD -31.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=117, threshold=0.16 |
8.8% | -38.2% | 0.55 | 0.23 | 9.5x | 110 | 22% |
| Donchian 채널 돌파 entryN=55, exitN=14 |
8.4% | -49.1% | 0.53 | 0.17 | 8.5x | 84 | 24% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
7.5% | -51.0% | 0.49 | 0.15 | 7.0x | 68 | 25% |
| SMA 크로스오버 fast=35, slow=89 |
8.5% | -50.3% | 0.49 | 0.17 | 8.9x | 82 | 45% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=2.5 |
7.2% | -52.3% | 0.46 | 0.14 | 6.3x | 90 | 28% |
| ADX / DI 방향성 period=39, threshold=22 |
5.3% | -31.3% | 0.44 | 0.17 | 4.0x | 30 | 12% |
| Supertrend period=20, mult=5 |
7.4% | -53.4% | 0.44 | 0.14 | 6.8x | 65 | 48% |
| EMA 크로스오버 fast=19, slow=78 |
7.0% | -70.8% | 0.41 | 0.10 | 6.2x | 88 | 46% |
| MACD fast=22, slow=57, signal=21 |
5.6% | -53.1% | 0.36 | 0.10 | 4.2x | 209 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.1% | -73.2% | 0.02 | -0.03 | 0.6x | 217 | 49% |
| Buy and hold | 4.1% | -76.8% | 0.29 | 0.05 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 117-day return is greater than 16%
- Sell — Sell when the 117-day return drops to 16% or below