Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Rongsheng Petrochemical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Rongsheng Petrochemical Co., Ltd. Class A. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 11.0%, MDD -38.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -73.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -14.4%, Sharpe 0.51, 10% exposure.
CAGR reference leader: MACD — CAGR 11.0%, MDD -38.6%, exposure 29%.
Return/drawdown alternative: MACD — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 59.3%p (CAGR 11.0%, MDD -38.6%, exposure 29%).
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=21, k=3.3 |
3.6% | -14.4% | 0.51 | 0.25 | 1.7x | 12 | 10% |
| MACD fast=6, slow=22, signal=12 |
11.0% | -38.6% | 0.48 | 0.28 | 4.6x | 167 | 29% |
| Donchian 채널 돌파 entryN=156, exitN=8 |
4.7% | -29.6% | 0.46 | 0.16 | 2.0x | 18 | 46% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=2.1 |
5.0% | -38.0% | 0.45 | 0.13 | 2.0x | 36 | 12% |
| SMA 크로스오버 fast=57, slow=338 |
7.1% | -47.4% | 0.44 | 0.15 | 2.8x | 9 | 34% |
| Supertrend period=24, mult=3.1 |
5.9% | -44.8% | 0.40 | 0.13 | 2.3x | 50 | 70% |
| ADX / DI 방향성 period=30, threshold=18 |
4.7% | -39.0% | 0.38 | 0.12 | 2.0x | 28 | 20% |
| Parabolic SAR step=0.045, maxStep=0.06 |
4.4% | -51.5% | 0.33 | 0.09 | 1.9x | 119 | 72% |
| EMA 크로스오버 fast=52, slow=190 |
4.1% | -64.5% | 0.30 | 0.06 | 1.8x | 9 | 35% |
| ROC 모멘텀 n=56, threshold=-0.01 |
4.4% | -70.4% | 0.27 | 0.06 | 1.9x | 92 | 72% |
| Buy and hold | 8.7% | -73.7% | 0.40 | 0.12 | 3.4x | 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 21-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 21-day middle average