Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Baiyin Nonferrous Group Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Baiyin Nonferrous Group Co Ltd Class A. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.6%, MDD -38.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.7%, drawdown -86.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.7%, MDD -55.3%, Sharpe 0.81, 6% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 9.6%, MDD -38.1%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=5, threshold=0.1 |
16.7% | -55.3% | 0.81 | 0.30 | 4.4x | 85 | 6% |
| Parabolic SAR step=0.03, maxStep=0.38 |
12.4% | -74.3% | 0.51 | 0.17 | 3.0x | 219 | 44% |
| 볼린저 밴드 돌파 n=39, k=2.2 |
9.6% | -38.1% | 0.46 | 0.25 | 2.4x | 39 | 24% |
| Supertrend period=8, mult=2.1 |
9.7% | -76.8% | 0.45 | 0.13 | 2.4x | 109 | 43% |
| ADX / DI 방향성 period=39, threshold=23 |
5.3% | -50.7% | 0.35 | 0.11 | 1.6x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=1.7 |
5.3% | -67.3% | 0.32 | 0.08 | 1.6x | 65 | 14% |
| Donchian 채널 돌파 entryN=67, exitN=15 |
4.4% | -45.3% | 0.30 | 0.10 | 1.5x | 19 | 16% |
| MACD fast=19, slow=50, signal=12 |
3.1% | -59.1% | 0.26 | 0.05 | 1.3x | 101 | 50% |
| SMA 크로스오버 fast=11, slow=31 |
1.5% | -74.6% | 0.21 | 0.02 | 1.1x | 81 | 42% |
| EMA 크로스오버 fast=42, slow=93 |
-2.9% | -71.0% | 0.06 | -0.04 | 0.8x | 24 | 40% |
| Buy and hold | 9.7% | -86.4% | 0.44 | 0.11 | 2.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than 10%
- Sell — Sell when the 5-day return drops to 10% or below