Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Minsheng Banking Corp., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Minsheng Banking Corp., Ltd. Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -22.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.9%, drawdown -71.3%).
Sharpe leader (same as main): Supertrend — CAGR 11.3%, MDD -56.9%, Sharpe 0.59, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 14.4%p (CAGR 4.5%, MDD -22.5%, exposure 5%).
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=8, mult=4.1 |
11.3% | -56.9% | 0.59 | 0.20 | 15.5x | 75 | 53% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
7.9% | -49.1% | 0.59 | 0.16 | 7.0x | 44 | 12% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=22, mult=3.6 |
7.2% | -44.7% | 0.53 | 0.16 | 5.9x | 46 | 14% |
| Donchian 채널 돌파 entryN=77, exitN=18 |
8.1% | -52.6% | 0.53 | 0.15 | 7.3x | 54 | 20% |
| ADX / DI 방향성 period=20, threshold=38 |
4.5% | -22.5% | 0.47 | 0.20 | 3.1x | 24 | 5% |
| SMA 크로스오버 fast=37, slow=141 |
7.5% | -52.7% | 0.44 | 0.14 | 6.3x | 48 | 45% |
| EMA 크로스오버 fast=59, slow=78 |
7.4% | -49.0% | 0.44 | 0.15 | 6.2x | 48 | 44% |
| MACD fast=23, slow=35, signal=27 |
6.6% | -63.1% | 0.41 | 0.10 | 5.1x | 205 | 49% |
| ROC 모멘텀 n=67, threshold=0.12 |
5.5% | -47.6% | 0.39 | 0.12 | 3.9x | 150 | 19% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.1% | -63.2% | 0.16 | 0.02 | 1.3x | 187 | 45% |
| Buy and hold | 4.9% | -71.3% | 0.31 | 0.07 | 3.4x | 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) — 8-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)