Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hua Xia Bank Co., Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Hua Xia Bank Co., Limited Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.1%, MDD -34.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.7%, drawdown -71.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -61.9%, Sharpe 0.37, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 9.4%p (CAGR 4.1%, MDD -34.3%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=285 |
6.2% | -61.9% | 0.37 | 0.10 | 4.0x | 30 | 48% |
| Donchian 채널 돌파 entryN=80, exitN=8 |
4.1% | -34.3% | 0.34 | 0.12 | 2.5x | 64 | 13% |
| ROC 모멘텀 n=110, threshold=0.26 |
3.8% | -49.9% | 0.31 | 0.08 | 2.4x | 64 | 12% |
| EMA 크로스오버 fast=57, slow=200 |
3.8% | -74.2% | 0.28 | 0.05 | 2.3x | 32 | 47% |
| ADX / DI 방향성 period=24, threshold=28 |
2.9% | -43.0% | 0.27 | 0.07 | 1.9x | 44 | 11% |
| 볼린저 밴드 돌파 n=55, k=1.4 |
2.8% | -60.2% | 0.24 | 0.05 | 1.9x | 121 | 35% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=22, mult=3.8 |
2.2% | -47.6% | 0.22 | 0.05 | 1.6x | 44 | 12% |
| Supertrend period=16, mult=3.5 |
2.1% | -61.6% | 0.21 | 0.03 | 1.6x | 109 | 51% |
| MACD fast=15, slow=24, signal=20 |
1.9% | -58.5% | 0.20 | 0.03 | 1.5x | 273 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.4% | -88.7% | -0.17 | -0.07 | 0.2x | 370 | 49% |
| Buy and hold | 4.7% | -71.3% | 0.31 | 0.07 | 2.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 285-day average
- Sell — Sell (to cash) when the 35-day average falls below the 285-day average