Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sichuan Hongda Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sichuan Hongda Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 10.5%, MDD -68.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.0%, drawdown -96.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.1%, MDD -72.8%, Sharpe 0.64, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.8%, MDD -83.5%, exposure 48%.
Return/drawdown alternative: MACD — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 10.5%, MDD -68.0%, exposure 50%).
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=49, k=2 |
16.1% | -72.8% | 0.64 | 0.22 | 39.2x | 84 | 31% |
| SMA 크로스오버 fast=20, slow=103 |
17.8% | -83.5% | 0.64 | 0.21 | 56.9x | 64 | 48% |
| Donchian 채널 돌파 entryN=74, exitN=35 |
16.7% | -70.4% | 0.64 | 0.24 | 45.2x | 48 | 37% |
| EMA 크로스오버 fast=37, slow=58 |
15.3% | -82.2% | 0.58 | 0.19 | 33.0x | 62 | 49% |
| Supertrend period=25, mult=4.7 |
14.0% | -82.7% | 0.55 | 0.17 | 25.0x | 78 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
13.8% | -80.1% | 0.55 | 0.17 | 23.9x | 167 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.7 |
12.8% | -70.9% | 0.54 | 0.18 | 19.6x | 126 | 35% |
| ROC 모멘텀 n=102, threshold=-0.01 |
11.7% | -86.1% | 0.49 | 0.14 | 15.1x | 208 | 53% |
| MACD fast=18, slow=33, signal=16 |
10.5% | -68.0% | 0.46 | 0.16 | 11.8x | 279 | 50% |
| ADX / DI 방향성 period=29, threshold=16 |
7.5% | -80.2% | 0.39 | 0.09 | 6.0x | 151 | 35% |
| Buy and hold | 7.0% | -96.0% | 0.39 | 0.07 | 5.3x | 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 49-day average (2× volatility)
- Sell — Sell when the close falls back to the 49-day middle average