Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China CITIC Bank Corporation Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China CITIC Bank Corporation Ltd Class A. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.1%, MDD -18.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.1%, drawdown -71.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.5%, MDD -39.1%, Sharpe 0.34, 19% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 2.1%, MDD -18.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=24, mult=1.9 |
4.5% | -39.1% | 0.34 | 0.11 | 2.3x | 91 | 19% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
4.3% | -32.3% | 0.34 | 0.13 | 2.3x | 61 | 18% |
| ADX / DI 방향성 period=22, threshold=46 |
2.1% | -18.2% | 0.32 | 0.12 | 1.5x | 4 | 1% |
| Supertrend period=8, mult=3.8 |
1.5% | -51.7% | 0.19 | 0.03 | 1.3x | 69 | 52% |
| Donchian 채널 돌파 entryN=39, exitN=29 |
0.4% | -56.3% | 0.13 | 0.01 | 1.1x | 63 | 43% |
| SMA 크로스오버 fast=15, slow=51 |
-1.5% | -62.5% | 0.04 | -0.02 | 0.7x | 103 | 44% |
| EMA 크로스오버 fast=31, slow=36 |
-2.0% | -68.6% | 0.03 | -0.03 | 0.7x | 81 | 44% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-1.9% | -66.4% | 0.02 | -0.03 | 0.7x | 227 | 45% |
| MACD fast=18, slow=48, signal=14 |
-2.4% | -70.6% | 0.01 | -0.03 | 0.6x | 219 | 51% |
| ROC 모멘텀 n=34, threshold=0.04 |
-4.9% | -76.4% | -0.15 | -0.06 | 0.4x | 271 | 30% |
| Buy and hold | -1.1% | -71.4% | 0.13 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 20-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average