Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Postal Savings Bank of China Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Postal Savings Bank of China Co., Ltd. Class A. 6 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 1.1%, MDD -6.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.3%, drawdown -38.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.1%, MDD -6.2%, Sharpe 0.24, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.5%, MDD -29.9%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 1.1%, MDD -6.2%, exposure 2%).
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=19, k=3.5 |
1.1% | -6.2% | 0.24 | 0.18 | 1.1x | 2 | 2% |
| SMA 크로스오버 fast=44, slow=191 |
2.5% | -29.9% | 0.23 | 0.08 | 1.2x | 10 | 51% |
| ADX / DI 방향성 period=27, threshold=33 |
0.9% | -9.6% | 0.20 | 0.10 | 1.1x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=2.7 |
0.6% | -11.9% | 0.12 | 0.05 | 1.0x | 8 | 4% |
| ROC 모멘텀 n=105, threshold=-0.07 |
-0.5% | -31.8% | 0.07 | -0.02 | 1.0x | 37 | 65% |
| Donchian 채널 돌파 entryN=35, exitN=39 |
-0.7% | -30.6% | 0.04 | -0.02 | 1.0x | 17 | 47% |
| Supertrend period=14, mult=5 |
-1.7% | -27.9% | -0.01 | -0.06 | 0.9x | 16 | 52% |
| EMA 크로스오버 fast=52, slow=148 |
-2.4% | -31.8% | -0.05 | -0.08 | 0.8x | 10 | 51% |
| MACD fast=8, slow=25, signal=9 |
-6.4% | -45.5% | -0.28 | -0.14 | 0.6x | 137 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.9% | -45.8% | -0.33 | -0.15 | 0.6x | 111 | 47% |
| Buy and hold | -1.3% | -38.1% | 0.06 | -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 19-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 19-day middle average