Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Industrial Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Industrial Securities Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.7%, MDD -15.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -78.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.3%, MDD -22.0%, Sharpe 0.54, 7% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 56.0%p (CAGR 4.7%, MDD -15.8%, 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=24, k=3.4 |
7.3% | -22.0% | 0.54 | 0.33 | 3.1x | 18 | 7% |
| ADX / DI 방향성 period=37, threshold=35 |
5.2% | -26.9% | 0.50 | 0.19 | 2.2x | 4 | 3% |
| ROC 모멘텀 n=1, threshold=0.09 |
4.7% | -15.8% | 0.50 | 0.30 | 2.1x | 68 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.7 |
5.1% | -34.8% | 0.41 | 0.15 | 2.2x | 36 | 6% |
| Supertrend period=13, mult=2.4 |
3.2% | -63.0% | 0.25 | 0.05 | 1.6x | 130 | 46% |
| Donchian 채널 돌파 entryN=148, exitN=55 |
3.0% | -51.4% | 0.25 | 0.06 | 1.6x | 18 | 29% |
| SMA 크로스오버 fast=70, slow=108 |
2.7% | -64.7% | 0.24 | 0.04 | 1.5x | 45 | 46% |
| MACD fast=18, slow=22, signal=13 |
1.5% | -52.5% | 0.19 | 0.03 | 1.3x | 204 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
0.9% | -74.9% | 0.17 | 0.01 | 1.2x | 250 | 44% |
| EMA 크로스오버 fast=9, slow=199 |
-0.5% | -74.2% | 0.11 | -0.01 | 0.9x | 40 | 37% |
| Buy and hold | -1.0% | -78.0% | 0.17 | -0.01 | 0.8x | 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 24-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 24-day middle average