Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Power Construction Corporation of China, Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Power Construction Corporation of China, 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 볼린저 밴드 돌파 (CAGR 11.8%, MDD -23.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -81.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -23.8%, Sharpe 0.80, 6% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 12.7%, MDD -35.1%, exposure 16%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR 11.8%, MDD -23.8%, exposure 6%).
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=21, k=3.5 |
11.8% | -23.8% | 0.80 | 0.49 | 5.2x | 14 | 6% |
| Donchian 채널 돌파 entryN=100, exitN=11 |
12.1% | -32.9% | 0.69 | 0.37 | 5.5x | 20 | 11% |
| ADX / DI 방향성 period=36, threshold=37 |
10.1% | -31.8% | 0.68 | 0.32 | 4.2x | 4 | 5% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=13, mult=2.6 |
12.7% | -35.1% | 0.67 | 0.36 | 5.9x | 32 | 16% |
| Supertrend period=19, mult=4.6 |
7.7% | -58.2% | 0.42 | 0.13 | 3.0x | 42 | 42% |
| Parabolic SAR step=0.01, maxStep=0.16 |
6.9% | -55.1% | 0.39 | 0.12 | 2.7x | 166 | 45% |
| MACD fast=13, slow=41, signal=13 |
6.2% | -58.6% | 0.36 | 0.11 | 2.5x | 180 | 51% |
| SMA 크로스오버 fast=25, slow=119 |
6.1% | -58.4% | 0.36 | 0.10 | 2.4x | 36 | 41% |
| EMA 크로스오버 fast=33, slow=61 |
5.9% | -57.7% | 0.35 | 0.10 | 2.3x | 36 | 41% |
| ROC 모멘텀 n=32, threshold=0.11 |
5.0% | -53.0% | 0.34 | 0.09 | 2.1x | 122 | 14% |
| Buy and hold | -0.9% | -81.3% | 0.16 | -0.01 | 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 21-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 21-day middle average