Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Satellite Communications Co. Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China Satellite Communications Co. Ltd Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 25.1%, MDD -49.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 28.2%, drawdown -66.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.6%, MDD -18.5%, Sharpe 0.78, 4% exposure.
CAGR reference leader: Parabolic SAR — CAGR 25.1%, MDD -49.2%, exposure 45%.
Return/drawdown alternative: Parabolic SAR — CAGR is 17.6%p lower than buy and hold, while drawdown improves by 47.4%p (CAGR 25.1%, MDD -49.2%, exposure 45%).
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=11, k=2.9 |
10.6% | -18.5% | 0.78 | 0.57 | 2.0x | 10 | 4% |
| Parabolic SAR step=0.015, maxStep=0.34 |
25.1% | -49.2% | 0.78 | 0.51 | 4.9x | 112 | 45% |
| ROC 모멘텀 n=108, threshold=-0.04 |
23.1% | -49.0% | 0.72 | 0.47 | 4.4x | 60 | 55% |
| SMA 크로스오버 fast=44, slow=98 |
18.8% | -42.3% | 0.66 | 0.44 | 3.4x | 20 | 44% |
| EMA 크로스오버 fast=39, slow=142 |
18.8% | -48.1% | 0.65 | 0.39 | 3.4x | 6 | 51% |
| Supertrend period=34, mult=3.9 |
17.7% | -53.6% | 0.64 | 0.33 | 3.2x | 32 | 37% |
| MACD fast=8, slow=35, signal=8 |
16.2% | -49.3% | 0.60 | 0.33 | 2.9x | 136 | 48% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=2.6 |
12.1% | -29.2% | 0.58 | 0.42 | 2.2x | 26 | 9% |
| ADX / DI 방향성 period=39, threshold=15 |
11.5% | -51.2% | 0.49 | 0.22 | 2.2x | 22 | 39% |
| Donchian 채널 돌파 entryN=58, exitN=44 |
11.1% | -59.6% | 0.48 | 0.19 | 2.1x | 12 | 41% |
| Buy and hold | 28.2% | -66.0% | 0.75 | 0.43 | 5.8x | 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 11-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 11-day middle average