Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Beijing Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Beijing Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -29.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.9%, drawdown -72.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.0%, MDD -33.6%, Sharpe 0.36, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 2.7%, MDD -29.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=19, mult=3.7 |
4.0% | -33.6% | 0.36 | 0.12 | 2.1x | 28 | 18% |
| ADX / DI 방향성 period=38, threshold=23 |
2.7% | -29.9% | 0.30 | 0.09 | 1.7x | 20 | 9% |
| EMA 크로스오버 fast=55, slow=207 |
3.0% | -44.7% | 0.26 | 0.07 | 1.7x | 14 | 36% |
| SMA 크로스오버 fast=46, slow=198 |
2.7% | -44.3% | 0.24 | 0.06 | 1.7x | 22 | 40% |
| Supertrend period=44, mult=4.8 |
2.5% | -54.3% | 0.23 | 0.05 | 1.6x | 48 | 45% |
| 볼린저 밴드 돌파 n=51, k=2.3 |
2.3% | -45.1% | 0.23 | 0.05 | 1.5x | 56 | 24% |
| ROC 모멘텀 n=84, threshold=0.13 |
2.1% | -47.9% | 0.22 | 0.04 | 1.5x | 78 | 16% |
| Donchian 채널 돌파 entryN=71, exitN=63 |
2.2% | -52.9% | 0.21 | 0.04 | 1.5x | 30 | 48% |
| MACD fast=16, slow=49, signal=12 |
-2.6% | -54.2% | -0.04 | -0.05 | 0.6x | 223 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.7% | -55.4% | -0.10 | -0.07 | 0.5x | 141 | 48% |
| Buy and hold | -2.9% | -72.8% | 0.04 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 73-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 73-day average