Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huadian Liaoning Energy Development Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huadian Liaoning Energy Development Co., Ltd. Class A. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -46.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.5%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.0%, MDD -47.4%, Sharpe 0.57, 6% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 8.5%, MDD -46.0%, exposure 10%).
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=30, k=3.4 |
10.0% | -47.4% | 0.57 | 0.21 | 11.1x | 24 | 6% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=3.4 |
8.5% | -46.0% | 0.47 | 0.18 | 7.9x | 52 | 10% |
| Donchian 채널 돌파 entryN=94, exitN=52 |
9.7% | -75.0% | 0.45 | 0.13 | 10.6x | 33 | 35% |
| SMA 크로스오버 fast=34, slow=104 |
9.7% | -69.0% | 0.44 | 0.14 | 10.4x | 57 | 47% |
| ADX / DI 방향성 period=18, threshold=40 |
5.5% | -37.8% | 0.42 | 0.14 | 3.8x | 28 | 4% |
| Supertrend period=18, mult=2.1 |
7.5% | -64.6% | 0.39 | 0.12 | 6.3x | 265 | 47% |
| Parabolic SAR step=0.02, maxStep=0.28 |
6.6% | -75.3% | 0.36 | 0.09 | 5.1x | 471 | 48% |
| EMA 크로스오버 fast=55, slow=68 |
6.3% | -81.1% | 0.35 | 0.08 | 4.7x | 67 | 47% |
| MACD fast=19, slow=27, signal=15 |
6.0% | -70.3% | 0.34 | 0.09 | 4.4x | 303 | 50% |
| ROC 모멘텀 n=112, threshold=0.13 |
5.7% | -82.9% | 0.34 | 0.07 | 4.1x | 159 | 27% |
| Buy and hold | 6.5% | -87.5% | 0.37 | 0.07 | 4.9x | 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 30-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 30-day middle average