Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Changjiang Securities Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Changjiang Securities Co., Ltd Class A. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -56.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.3%, drawdown -82.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 10.4%, MDD -60.2%, Sharpe 0.29, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 6.2%, MDD -56.3%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.12 |
10.4% | -60.2% | 0.29 | 0.17 | 17.8x | 334 | 49% |
| Supertrend period=34, mult=2.1 |
10.4% | -64.0% | 0.29 | 0.16 | 17.7x | 270 | 43% |
| SMA 크로스오버 fast=51, slow=112 |
4.1% | -73.6% | 0.28 | 0.06 | 3.2x | 63 | 46% |
| 볼린저 밴드 돌파 n=16, k=2.4 |
9.7% | -66.8% | 0.27 | 0.15 | 14.9x | 192 | 21% |
| MACD fast=13, slow=17, signal=14 |
3.4% | -66.7% | 0.26 | 0.05 | 2.6x | 444 | 50% |
| Donchian 채널 돌파 entryN=27, exitN=40 |
6.3% | -75.0% | 0.25 | 0.08 | 5.9x | 88 | 59% |
| EMA 크로스오버 fast=9, slow=35 |
5.5% | -77.8% | 0.23 | 0.07 | 4.7x | 204 | 48% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=1.8 |
6.2% | -56.3% | 0.22 | 0.11 | 5.7x | 176 | 23% |
| ADX / DI 방향성 period=12, threshold=17 |
4.8% | -69.0% | 0.22 | 0.07 | 3.9x | 488 | 47% |
| ROC 모멘텀 n=83, threshold=-0.03 |
4.4% | -81.8% | 0.22 | 0.05 | 3.5x | 321 | 54% |
| Buy and hold | 3.3% | -82.9% | 0.24 | 0.04 | 2.6x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots