Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing New Building Materials (Group) Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing New Building Materials (Group) Co Ltd Class A. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.8%, MDD -45.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.6%, drawdown -79.2%).
Sharpe leader (same as main): MACD — CAGR 10.0%, MDD -65.7%, Sharpe 0.47, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 7.8%, MDD -45.6%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=60, signal=18 |
10.0% | -65.7% | 0.47 | 0.15 | 16.2x | 245 | 49% |
| SMA 크로스오버 fast=8, slow=137 |
9.7% | -67.7% | 0.46 | 0.14 | 15.1x | 100 | 51% |
| Supertrend period=16, mult=2.9 |
9.6% | -54.5% | 0.46 | 0.18 | 14.4x | 176 | 48% |
| Donchian 채널 돌파 entryN=16, exitN=31 |
9.5% | -66.0% | 0.44 | 0.14 | 14.2x | 135 | 63% |
| 볼린저 밴드 돌파 n=37, k=2.5 |
7.8% | -45.6% | 0.44 | 0.17 | 8.9x | 112 | 27% |
| EMA 크로스오버 fast=9, slow=68 |
8.8% | -62.9% | 0.43 | 0.14 | 11.8x | 160 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
8.2% | -62.1% | 0.41 | 0.13 | 10.0x | 222 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=3.1 |
6.3% | -53.0% | 0.38 | 0.12 | 5.9x | 82 | 25% |
| ADX / DI 방향성 period=15, threshold=9 |
6.3% | -62.7% | 0.36 | 0.10 | 6.0x | 528 | 52% |
| ROC 모멘텀 n=106, threshold=0.01 |
6.0% | -73.4% | 0.35 | 0.08 | 5.5x | 288 | 49% |
| Buy and hold | 6.6% | -79.2% | 0.36 | 0.08 | 6.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (22/60) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line