Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Soochow Securities Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Soochow Securities Co Ltd Class A. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.1%, MDD -22.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.4%, drawdown -82.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -22.5%, Sharpe 0.52, 9% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 60.2%p (CAGR 8.1%, MDD -22.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=3.3 |
8.1% | -22.5% | 0.52 | 0.36 | 3.1x | 12 | 9% |
| ADX / DI 방향성 period=39, threshold=24 |
7.1% | -42.2% | 0.47 | 0.17 | 2.7x | 18 | 14% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=3.3 |
5.4% | -38.9% | 0.37 | 0.14 | 2.2x | 26 | 13% |
| Supertrend period=14, mult=2.3 |
5.9% | -55.0% | 0.35 | 0.11 | 2.3x | 119 | 49% |
| MACD fast=14, slow=31, signal=14 |
5.8% | -48.7% | 0.35 | 0.12 | 2.3x | 179 | 50% |
| ROC 모멘텀 n=13, threshold=0.08 |
4.7% | -33.6% | 0.33 | 0.14 | 1.9x | 178 | 15% |
| Donchian 채널 돌파 entryN=53, exitN=36 |
3.6% | -47.6% | 0.27 | 0.08 | 1.7x | 28 | 29% |
| SMA 크로스오버 fast=50, slow=99 |
2.0% | -62.6% | 0.21 | 0.03 | 1.3x | 36 | 42% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-0.5% | -54.1% | 0.12 | -0.01 | 0.9x | 176 | 45% |
| EMA 크로스오버 fast=40, slow=72 |
-1.4% | -78.6% | 0.09 | -0.02 | 0.8x | 42 | 43% |
| Buy and hold | 1.4% | -82.7% | 0.24 | 0.02 | 1.2x | 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 51-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 51-day middle average