Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Telecom Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Telecom Corp. Ltd. Class A. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -11.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.7%, drawdown -40.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.2%, MDD -24.9%, Sharpe 0.76, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 6.2%, MDD -11.4%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=184 |
15.2% | -24.9% | 0.76 | 0.61 | 2.0x | 4 | 46% |
| ADX / DI 방향성 period=15, threshold=35 |
9.4% | -16.5% | 0.65 | 0.57 | 1.6x | 9 | 12% |
| ROC 모멘텀 n=70, threshold=0.01 |
12.0% | -26.9% | 0.62 | 0.44 | 1.8x | 42 | 43% |
| EMA 크로스오버 fast=27, slow=133 |
11.3% | -29.4% | 0.59 | 0.39 | 1.7x | 5 | 50% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
6.2% | -11.4% | 0.57 | 0.55 | 1.4x | 2 | 3% |
| Donchian 채널 돌파 entryN=66, exitN=77 |
9.3% | -27.5% | 0.51 | 0.34 | 1.6x | 6 | 47% |
| Supertrend period=27, mult=3.7 |
7.8% | -26.0% | 0.47 | 0.30 | 1.5x | 17 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=3.2 |
4.3% | -17.4% | 0.40 | 0.25 | 1.2x | 6 | 5% |
| MACD fast=12, slow=23, signal=19 |
2.9% | -32.3% | 0.24 | 0.09 | 1.2x | 66 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.0% | -39.8% | 0.10 | 0.00 | 1.0x | 39 | 42% |
| Buy and hold | 0.7% | -40.1% | 0.17 | 0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 48-day average falls below the 184-day average