Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Ningbo Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Ningbo Co., Ltd. Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.0%, MDD -41.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.9%, drawdown -80.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -44.1%, Sharpe 0.48, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 5.0%, MDD -41.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=97 |
9.1% | -44.1% | 0.48 | 0.21 | 5.3x | 49 | 57% |
| Donchian 채널 돌파 entryN=37, exitN=73 |
8.6% | -54.1% | 0.45 | 0.16 | 4.9x | 31 | 68% |
| EMA 크로스오버 fast=36, slow=379 |
7.2% | -60.1% | 0.40 | 0.12 | 3.8x | 13 | 58% |
| ROC 모멘텀 n=65, threshold=-0.1 |
7.5% | -55.0% | 0.40 | 0.14 | 4.0x | 111 | 77% |
| Keltner 채널 돌파 emaPeriod=142, atrPeriod=16, mult=2.8 |
5.6% | -44.2% | 0.36 | 0.13 | 2.8x | 37 | 42% |
| ADX / DI 방향성 period=38, threshold=17 |
5.0% | -41.9% | 0.36 | 0.12 | 2.6x | 48 | 27% |
| Supertrend period=10, mult=5 |
4.6% | -60.3% | 0.30 | 0.08 | 2.3x | 41 | 64% |
| 볼린저 밴드 돌파 n=76, k=2.9 |
3.7% | -38.7% | 0.30 | 0.09 | 2.0x | 29 | 23% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.3% | -56.0% | 0.12 | -0.00 | 1.0x | 147 | 53% |
| MACD fast=16, slow=52, signal=14 |
-6.9% | -81.3% | -0.17 | -0.08 | 0.3x | 267 | 51% |
| Buy and hold | 4.9% | -80.9% | 0.32 | 0.06 | 2.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 97-day average
- Sell — Sell (to cash) when the 46-day average falls below the 97-day average