Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Changchun High-Tech Industry (Group) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Changchun High-Tech Industry (Group) Co., Ltd. Class A. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.4%, MDD -59.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.4%, drawdown -87.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.4%, MDD -59.9%, Sharpe 0.56, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 13.4%, MDD -59.9%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=1.3 |
13.4% | -59.9% | 0.56 | 0.22 | 41.5x | 413 | 40% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=19, mult=3.5 |
9.2% | -50.5% | 0.54 | 0.18 | 13.4x | 56 | 13% |
| Supertrend period=17, mult=2.1 |
13.3% | -76.7% | 0.53 | 0.17 | 40.1x | 299 | 51% |
| EMA 크로스오버 fast=7, slow=215 |
12.0% | -63.7% | 0.50 | 0.19 | 28.7x | 74 | 49% |
| SMA 크로스오버 fast=11, slow=190 |
10.9% | -76.1% | 0.47 | 0.14 | 21.4x | 76 | 49% |
| Donchian 채널 돌파 entryN=60, exitN=102 |
11.2% | -85.2% | 0.47 | 0.13 | 23.4x | 38 | 65% |
| ROC 모멘텀 n=143, threshold=-0.03 |
9.7% | -72.7% | 0.44 | 0.13 | 15.7x | 218 | 54% |
| MACD fast=12, slow=55, signal=14 |
8.6% | -65.7% | 0.42 | 0.13 | 11.4x | 375 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
7.6% | -71.2% | 0.38 | 0.11 | 8.7x | 493 | 50% |
| ADX / DI 방향성 period=25, threshold=18 |
6.1% | -72.0% | 0.36 | 0.09 | 5.8x | 183 | 31% |
| Buy and hold | 11.4% | -87.9% | 0.47 | 0.13 | 24.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 17-day middle average