Trend-Following Backtester · Guide · backtest 한국어
equity · CN
People's Insurance Co. (Group) of China Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of People's Insurance Co. (Group) of China Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.3%, MDD -25.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.6%, drawdown -63.3%).
Sharpe leader (same as main): Supertrend — CAGR 10.7%, MDD -40.5%, Sharpe 0.59, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 7.3%, MDD -25.1%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.7 |
10.7% | -40.5% | 0.59 | 0.26 | 2.2x | 19 | 38% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=20, mult=2.7 |
7.1% | -27.1% | 0.50 | 0.26 | 1.7x | 16 | 9% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
7.3% | -25.1% | 0.49 | 0.29 | 1.7x | 16 | 11% |
| Parabolic SAR step=0.015, maxStep=0.1 |
8.7% | -34.2% | 0.47 | 0.25 | 1.9x | 113 | 44% |
| Donchian 채널 돌파 entryN=22, exitN=49 |
7.1% | -46.5% | 0.40 | 0.15 | 1.7x | 23 | 60% |
| ADX / DI 방향성 period=11, threshold=38 |
4.2% | -34.3% | 0.32 | 0.12 | 1.4x | 28 | 11% |
| ROC 모멘텀 n=6, threshold=0.15 |
3.5% | -25.3% | 0.32 | 0.14 | 1.3x | 10 | 1% |
| SMA 크로스오버 fast=42, slow=106 |
3.7% | -32.8% | 0.30 | 0.11 | 1.3x | 15 | 45% |
| MACD fast=17, slow=28, signal=8 |
3.5% | -52.8% | 0.27 | 0.07 | 1.3x | 117 | 50% |
| EMA 크로스오버 fast=50, slow=104 |
2.1% | -39.8% | 0.21 | 0.05 | 1.2x | 14 | 51% |
| Buy and hold | -0.6% | -63.3% | 0.14 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)