Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Orient Securities Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Orient Securities Company Limited Class A. 10 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 2.9%, MDD -15.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.8%, drawdown -81.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -34.3%, Sharpe 0.42, 17% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 2.9%, MDD -15.8%, exposure 2%).
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=23, k=2.4 |
6.6% | -34.3% | 0.42 | 0.19 | 2.1x | 50 | 17% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=25, mult=2.3 |
2.9% | -15.8% | 0.35 | 0.18 | 1.4x | 14 | 2% |
| Donchian 채널 돌파 entryN=93, exitN=9 |
3.5% | -26.3% | 0.31 | 0.13 | 1.5x | 18 | 7% |
| ADX / DI 방향성 period=13, threshold=24 |
2.4% | -43.2% | 0.22 | 0.06 | 1.3x | 92 | 31% |
| Parabolic SAR step=0.01, maxStep=0.12 |
2.2% | -63.9% | 0.22 | 0.03 | 1.3x | 130 | 44% |
| EMA 크로스오버 fast=10, slow=24 |
-0.6% | -58.2% | 0.11 | -0.01 | 0.9x | 96 | 38% |
| ROC 모멘텀 n=114, threshold=0.02 |
-0.5% | -47.9% | 0.10 | -0.01 | 0.9x | 56 | 33% |
| Supertrend period=33, mult=3.3 |
-1.4% | -53.9% | 0.06 | -0.03 | 0.9x | 58 | 29% |
| MACD fast=17, slow=53, signal=12 |
-2.2% | -63.6% | 0.05 | -0.03 | 0.8x | 126 | 49% |
| SMA 크로스오버 fast=58, slow=94 |
-3.0% | -61.0% | -0.02 | -0.05 | 0.7x | 39 | 31% |
| Buy and hold | -3.8% | -81.9% | 0.09 | -0.05 | 0.6x | 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 23-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 23-day middle average