Trend-Following Backtester · Guide · backtest 한국어

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GF Securities Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of GF Securities Co., Ltd. Class A. 5 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 9.5%, MDD -32.3%).

Data 1997-06-11 ~ 2026-07-31daily bars 7,232 (29.1 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 7.0%, drawdown -84.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.5%, MDD -32.3%, Sharpe 0.63, 13% exposure.

CAGR reference leader: Supertrend — CAGR 10.4%, MDD -73.3%, exposure 56%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 9.5%, MDD -32.3%, exposure 13%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=57, k=3.5
9.5%-32.3%0.630.2914.1x2813%
Keltner 채널 돌파
emaPeriod=22, atrPeriod=17, mult=3.6
6.5%-44.7%0.520.156.3x3412%
MACD
fast=8, slow=59, signal=23
6.6%-61.7%0.380.116.5x31043%
Supertrend
period=20, mult=4.2
10.4%-73.3%0.310.1417.9x9556%
Parabolic SAR
step=0.01, maxStep=0.16
9.9%-70.3%0.300.1415.5x29654%
Donchian 채널 돌파
entryN=64, exitN=40
9.8%-65.5%0.300.1515.1x5745%
ADX / DI 방향성
period=31, threshold=25
9.5%-42.2%0.280.2314.1x3020%
EMA 크로스오버
fast=17, slow=58
5.8%-79.6%0.240.075.1x11752%
ROC 모멘텀
n=51, threshold=-0.02
5.4%-78.0%0.240.074.6x38360%
SMA 크로스오버
fast=44, slow=101
2.0%-77.3%0.210.031.8x7143%
Buy and hold7.0%-84.3%0.290.087.1x1100%
1x 10x 1998 2002 2006 2010 2014 2018 2022 2026 Supertrend볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -21% -42% -63% -84% 1998 2002 2006 2010 2014 2018 2022 2026 Buy and holdSupertrend볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -32.3% (2014-12-17 → 2020-12-10), recovered after 3,894 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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