Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chengxin Lithium Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chengxin Lithium Group Co., Ltd. Class A. 10 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 6.9%, MDD -18.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.9%, drawdown -85.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.9%, MDD -18.6%, Sharpe 0.72, 2% exposure.
CAGR reference leader: Supertrend — CAGR 18.8%, MDD -72.7%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 67.3%p (CAGR 6.9%, MDD -18.6%, exposure 2%).
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=12, k=3.2 |
6.9% | -18.6% | 0.72 | 0.37 | 3.4x | 4 | 2% |
| Supertrend period=6, mult=4.6 |
18.8% | -72.7% | 0.63 | 0.26 | 23.0x | 52 | 58% |
| SMA 크로스오버 fast=12, slow=205 |
17.7% | -55.5% | 0.63 | 0.32 | 19.3x | 40 | 45% |
| ADX / DI 방향성 period=24, threshold=30 |
11.3% | -50.6% | 0.62 | 0.22 | 7.0x | 20 | 12% |
| Donchian 채널 돌파 entryN=17, exitN=55 |
18.1% | -64.4% | 0.61 | 0.28 | 20.8x | 54 | 67% |
| EMA 크로스오버 fast=36, slow=154 |
14.0% | -66.7% | 0.54 | 0.21 | 10.8x | 32 | 45% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=2.3 |
12.8% | -71.9% | 0.53 | 0.18 | 9.0x | 72 | 30% |
| ROC 모멘텀 n=43, threshold=0.02 |
13.4% | -70.2% | 0.53 | 0.19 | 9.9x | 222 | 44% |
| MACD fast=16, slow=31, signal=16 |
9.0% | -78.9% | 0.42 | 0.11 | 4.8x | 214 | 53% |
| Parabolic SAR step=0.01, maxStep=0.18 |
9.0% | -78.4% | 0.42 | 0.12 | 4.8x | 228 | 47% |
| Buy and hold | 5.9% | -85.9% | 0.38 | 0.07 | 2.9x | 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 12-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 12-day middle average