Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of China Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of China Limited Class A. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -28.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.5%, drawdown -66.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -48.4%, Sharpe 0.37, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 2.2%, MDD -28.1%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=80, exitN=74 |
5.4% | -48.4% | 0.37 | 0.11 | 2.9x | 27 | 56% |
| EMA 크로스오버 fast=60, slow=112 |
4.1% | -48.3% | 0.31 | 0.09 | 2.3x | 33 | 50% |
| SMA 크로스오버 fast=12, slow=168 |
3.7% | -45.4% | 0.29 | 0.08 | 2.1x | 39 | 52% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
2.2% | -28.1% | 0.27 | 0.08 | 1.6x | 22 | 6% |
| ADX / DI 방향성 period=31, threshold=23 |
2.0% | -34.5% | 0.23 | 0.06 | 1.5x | 30 | 12% |
| ROC 모멘텀 n=201, threshold=0.13 |
2.0% | -41.0% | 0.20 | 0.05 | 1.5x | 55 | 26% |
| Supertrend period=14, mult=5 |
1.3% | -51.2% | 0.17 | 0.03 | 1.3x | 51 | 55% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=3.6 |
-0.1% | -39.5% | 0.05 | -0.00 | 1.0x | 28 | 6% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-2.2% | -67.3% | -0.04 | -0.03 | 0.6x | 217 | 49% |
| MACD fast=24, slow=50, signal=15 |
-2.5% | -70.7% | -0.05 | -0.04 | 0.6x | 189 | 52% |
| Buy and hold | 2.5% | -66.2% | 0.23 | 0.04 | 1.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 80 days
- Sell — Sell when price breaks below the lowest low of the last 74 days