Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hengli Petrochemical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hengli Petrochemical Co., Ltd. Class A. 7 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 10.1%, MDD -46.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.2%, drawdown -84.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.1%, MDD -46.6%, Sharpe 0.53, 23% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.3%, MDD -58.5%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 10.1%, MDD -46.6%, exposure 23%).
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=58, k=2.8 |
10.1% | -46.6% | 0.53 | 0.22 | 10.9x | 46 | 23% |
| EMA 크로스오버 fast=50, slow=211 |
12.3% | -58.5% | 0.51 | 0.21 | 18.1x | 24 | 49% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=2.8 |
9.5% | -46.7% | 0.50 | 0.20 | 9.6x | 70 | 26% |
| SMA 크로스오버 fast=29, slow=159 |
11.3% | -59.4% | 0.49 | 0.19 | 14.5x | 38 | 50% |
| Supertrend period=16, mult=4 |
9.0% | -67.8% | 0.44 | 0.13 | 8.6x | 98 | 49% |
| MACD fast=17, slow=34, signal=13 |
8.4% | -65.2% | 0.41 | 0.13 | 7.4x | 317 | 49% |
| Donchian 채널 돌파 entryN=90, exitN=74 |
7.7% | -56.0% | 0.39 | 0.14 | 6.4x | 32 | 46% |
| ROC 모멘텀 n=141, threshold=0 |
5.7% | -70.5% | 0.34 | 0.08 | 4.0x | 190 | 50% |
| ADX / DI 방향성 period=19, threshold=31 |
3.4% | -41.7% | 0.28 | 0.08 | 2.3x | 62 | 14% |
| Parabolic SAR step=0.015, maxStep=0.26 |
2.0% | -81.7% | 0.22 | 0.02 | 1.6x | 389 | 51% |
| Buy and hold | 7.2% | -84.2% | 0.38 | 0.09 | 5.6x | 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 58-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 58-day middle average