Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Merchants Bank Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Merchants Bank Co., Ltd. Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.6%, MDD -43.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.6%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.6%, MDD -43.0%, Sharpe 0.59, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 11.6%, MDD -43.0%, exposure 54%).
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=68, slow=110 |
11.6% | -43.0% | 0.59 | 0.27 | 14.5x | 54 | 54% |
| Donchian 채널 돌파 entryN=60, exitN=67 |
10.3% | -45.0% | 0.53 | 0.23 | 10.7x | 39 | 56% |
| Supertrend period=10, mult=4 |
9.7% | -58.2% | 0.51 | 0.17 | 9.5x | 85 | 58% |
| ROC 모멘텀 n=104, threshold=0.14 |
7.3% | -39.0% | 0.47 | 0.19 | 5.5x | 160 | 28% |
| ADX / DI 방향성 period=39, threshold=18 |
6.6% | -39.8% | 0.45 | 0.17 | 4.7x | 56 | 23% |
| MACD fast=14, slow=70, signal=19 |
7.3% | -47.2% | 0.43 | 0.16 | 5.6x | 227 | 50% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=2.1 |
6.2% | -37.6% | 0.41 | 0.16 | 4.3x | 119 | 31% |
| EMA 크로스오버 fast=59, slow=94 |
6.5% | -53.9% | 0.39 | 0.12 | 4.6x | 46 | 54% |
| 볼린저 밴드 돌파 n=47, k=1.3 |
4.6% | -49.3% | 0.32 | 0.09 | 3.0x | 153 | 40% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.7% | -61.0% | 0.32 | 0.08 | 3.1x | 191 | 49% |
| Buy and hold | 9.6% | -75.5% | 0.45 | 0.13 | 9.3x | 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 68-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 68-day average falls below the 110-day average