Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningxia Baofeng Energy Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ningxia Baofeng Energy Group Co., Ltd. Class A. 4 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 7.4%, MDD -23.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.3%, drawdown -53.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -24.8%, Sharpe 0.60, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.1%, MDD -55.3%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 7.4%, MDD -23.6%, exposure 16%).
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=18, k=2.9 |
7.8% | -24.8% | 0.60 | 0.31 | 1.7x | 16 | 8% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=24, mult=2.2 |
7.4% | -23.6% | 0.49 | 0.31 | 1.7x | 32 | 16% |
| SMA 크로스오버 fast=60, slow=74 |
8.1% | -55.3% | 0.42 | 0.15 | 1.8x | 32 | 51% |
| Supertrend period=20, mult=2.1 |
5.5% | -45.5% | 0.34 | 0.12 | 1.5x | 79 | 52% |
| MACD fast=13, slow=55, signal=16 |
5.0% | -56.4% | 0.32 | 0.09 | 1.4x | 87 | 50% |
| Donchian 채널 돌파 entryN=78, exitN=9 |
4.0% | -46.9% | 0.31 | 0.09 | 1.3x | 22 | 16% |
| EMA 크로스오버 fast=52, slow=183 |
2.4% | -53.6% | 0.24 | 0.05 | 1.2x | 15 | 62% |
| ADX / DI 방향성 period=30, threshold=19 |
2.1% | -36.3% | 0.21 | 0.06 | 1.2x | 18 | 20% |
| ROC 모멘텀 n=135, threshold=0.07 |
1.0% | -57.1% | 0.18 | 0.02 | 1.1x | 69 | 44% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-0.6% | -62.7% | 0.11 | -0.01 | 1.0x | 125 | 48% |
| Buy and hold | 5.3% | -53.5% | 0.33 | 0.10 | 1.5x | 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 18-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 18-day middle average