Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Electric Power Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Electric Power Co., Ltd. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.4%, MDD -36.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.9%, drawdown -81.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.4%, MDD -36.1%, Sharpe 0.79, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 16.4%, MDD -36.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.5 |
16.4% | -36.1% | 0.79 | 0.45 | 31.8x | 22 | 16% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=3.4 |
13.8% | -49.9% | 0.67 | 0.28 | 19.0x | 42 | 20% |
| ADX / DI 방향성 period=18, threshold=36 |
11.3% | -46.9% | 0.66 | 0.24 | 11.6x | 34 | 10% |
| Donchian 채널 돌파 entryN=78, exitN=16 |
11.8% | -62.4% | 0.59 | 0.19 | 12.8x | 46 | 21% |
| SMA 크로스오버 fast=44, slow=126 |
12.7% | -54.6% | 0.56 | 0.23 | 15.4x | 46 | 43% |
| Supertrend period=22, mult=4.2 |
10.1% | -64.3% | 0.49 | 0.16 | 8.9x | 76 | 46% |
| EMA 크로스오버 fast=54, slow=59 |
6.4% | -78.7% | 0.36 | 0.08 | 4.1x | 64 | 44% |
| ROC 모멘텀 n=90, threshold=0.07 |
5.5% | -76.5% | 0.33 | 0.07 | 3.4x | 208 | 31% |
| Parabolic SAR step=0.005, maxStep=0.2 |
4.6% | -71.7% | 0.30 | 0.06 | 2.8x | 155 | 47% |
| MACD fast=20, slow=68, signal=12 |
0.3% | -74.2% | 0.16 | 0.00 | 1.1x | 247 | 53% |
| Buy and hold | 3.9% | -81.7% | 0.30 | 0.05 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 54-day middle average