Trend-Following Backtester · Guide · backtest 한국어
equity · CN
New China Life Insurance Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of New China Life Insurance Co., Ltd. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -28.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.7%, drawdown -67.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -45.5%, Sharpe 0.45, 48% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.0%, MDD -44.8%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 5.4%, MDD -28.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=115 |
9.0% | -45.5% | 0.45 | 0.20 | 3.5x | 38 | 48% |
| EMA 크로스오버 fast=34, slow=68 |
9.0% | -44.8% | 0.45 | 0.20 | 3.6x | 30 | 49% |
| ADX / DI 방향성 period=35, threshold=34 |
4.4% | -18.6% | 0.43 | 0.24 | 1.9x | 6 | 4% |
| Donchian 채널 돌파 entryN=18, exitN=61 |
8.9% | -47.3% | 0.43 | 0.19 | 3.5x | 37 | 72% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=10, mult=3.9 |
5.4% | -28.0% | 0.42 | 0.19 | 2.2x | 16 | 9% |
| Supertrend period=10, mult=5 |
7.5% | -54.3% | 0.40 | 0.14 | 2.9x | 35 | 56% |
| ROC 모멘텀 n=140, threshold=-0.01 |
5.3% | -45.0% | 0.33 | 0.12 | 2.1x | 108 | 48% |
| 볼린저 밴드 돌파 n=51, k=2.1 |
4.8% | -40.0% | 0.32 | 0.12 | 2.0x | 58 | 27% |
| MACD fast=19, slow=61, signal=17 |
2.0% | -58.5% | 0.21 | 0.03 | 1.3x | 146 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.8% | -54.8% | 0.04 | -0.05 | 0.7x | 130 | 50% |
| Buy and hold | 5.7% | -67.4% | 0.34 | 0.08 | 2.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 13-day average falls below the 115-day average