Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Rural Commercial Bank Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Rural Commercial Bank Co Ltd Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -16.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.3%, drawdown -51.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -20.0%, Sharpe 0.51, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 3.8%, MDD -16.0%, exposure 48%).
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=19, slow=44 |
6.9% | -20.0% | 0.51 | 0.34 | 1.4x | 21 | 47% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
5.7% | -17.0% | 0.49 | 0.33 | 1.3x | 8 | 21% |
| EMA 크로스오버 fast=10, slow=27 |
6.1% | -19.9% | 0.45 | 0.31 | 1.4x | 34 | 48% |
| ROC 모멘텀 n=138, threshold=-0.04 |
5.8% | -23.1% | 0.41 | 0.25 | 1.3x | 21 | 60% |
| Supertrend period=25, mult=3.6 |
5.0% | -18.9% | 0.38 | 0.26 | 1.3x | 21 | 61% |
| Donchian 채널 돌파 entryN=11, exitN=22 |
4.6% | -28.3% | 0.35 | 0.16 | 1.3x | 31 | 61% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=3.2 |
3.7% | -17.0% | 0.34 | 0.22 | 1.2x | 12 | 25% |
| ADX / DI 방향성 period=15, threshold=11 |
3.8% | -16.0% | 0.32 | 0.24 | 1.2x | 66 | 48% |
| MACD fast=19, slow=32, signal=19 |
3.2% | -21.2% | 0.28 | 0.15 | 1.2x | 48 | 48% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-0.9% | -28.4% | 0.01 | -0.03 | 1.0x | 80 | 46% |
| Buy and hold | -4.3% | -51.2% | -0.09 | -0.08 | 0.8x | 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 19-day average price crosses above the 44-day average
- Sell — Sell (to cash) when the 19-day average falls below the 44-day average