Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Chengdu Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Chengdu Co., Ltd. Class A. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.1%, MDD -25.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -54.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.1%, MDD -25.4%, Sharpe 0.46, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 8.1%, MDD -25.4%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=43, slow=249 |
8.1% | -25.4% | 0.46 | 0.32 | 1.9x | 7 | 54% |
| Donchian 채널 돌파 entryN=59, exitN=18 |
4.1% | -20.9% | 0.33 | 0.19 | 1.4x | 20 | 29% |
| SMA 크로스오버 fast=42, slow=183 |
2.8% | -33.8% | 0.24 | 0.08 | 1.3x | 15 | 55% |
| MACD fast=19, slow=56, signal=13 |
2.6% | -33.2% | 0.23 | 0.08 | 1.3x | 89 | 50% |
| ROC 모멘텀 n=148, threshold=-0.03 |
2.2% | -34.8% | 0.21 | 0.06 | 1.2x | 61 | 61% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
1.8% | -30.6% | 0.19 | 0.06 | 1.2x | 38 | 38% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3 |
1.0% | -24.7% | 0.14 | 0.04 | 1.1x | 24 | 27% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-0.2% | -50.6% | 0.11 | -0.00 | 1.0x | 159 | 47% |
| Supertrend period=26, mult=4 |
-2.5% | -53.1% | 0.01 | -0.05 | 0.8x | 30 | 57% |
| ADX / DI 방향성 period=12, threshold=32 |
-1.2% | -30.5% | -0.02 | -0.04 | 0.9x | 52 | 19% |
| Buy and hold | 7.7% | -54.5% | 0.40 | 0.14 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 249-day EMA
- Sell — Sell when the 43-day EMA falls below the 249-day EMA