Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Shanghai Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Shanghai Co., Ltd. Class A. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -7.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.4%, drawdown -56.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -19.0%, Sharpe 0.29, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.7%, MDD -22.0%, exposure 34%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR -0.2%, MDD -7.3%, exposure 1%).
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=60, k=2.5 |
2.4% | -19.0% | 0.29 | 0.12 | 1.3x | 15 | 19% |
| EMA 크로스오버 fast=103, slow=278 |
2.7% | -22.0% | 0.29 | 0.12 | 1.3x | 4 | 34% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=3.3 |
1.1% | -29.4% | 0.16 | 0.04 | 1.1x | 14 | 17% |
| SMA 크로스오버 fast=26, slow=211 |
0.9% | -34.0% | 0.14 | 0.03 | 1.1x | 16 | 38% |
| Donchian 채널 돌파 entryN=60, exitN=28 |
0.6% | -37.2% | 0.12 | 0.02 | 1.1x | 18 | 29% |
| Supertrend period=21, mult=4.7 |
-1.0% | -43.6% | -0.01 | -0.02 | 0.9x | 26 | 46% |
| ADX / DI 방향성 period=20, threshold=38 |
-0.2% | -7.3% | -0.08 | -0.02 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=103, threshold=-0.04 |
-4.6% | -56.3% | -0.23 | -0.08 | 0.6x | 93 | 63% |
| MACD fast=18, slow=55, signal=18 |
-5.1% | -56.9% | -0.31 | -0.09 | 0.6x | 97 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-8.0% | -60.8% | -0.51 | -0.13 | 0.4x | 155 | 48% |
| Buy and hold | -1.4% | -56.3% | 0.02 | -0.03 | 0.9x | 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 60-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 60-day middle average