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 11.7%, MDD -38.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, 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 11.7%, MDD -38.6%, exposure 29%.
Return/drawdown alternative: MACD — CAGR is 6.3%p lower than buy and hold, while drawdown improves by 59.3%p (CAGR 11.7%, 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 |
11.7% | -38.6% | 0.51 | 0.30 | 5.2x | 169 | 29% |
| SMA 크로스오버 fast=57, slow=338 |
8.4% | -47.4% | 0.49 | 0.18 | 3.3x | 9 | 35% |
| 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 |
4.9% | -38.0% | 0.45 | 0.13 | 2.0x | 36 | 12% |
| Supertrend period=24, mult=3.1 |
6.7% | -44.8% | 0.44 | 0.15 | 2.6x | 51 | 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 |
5.3% | -51.5% | 0.37 | 0.10 | 2.1x | 121 | 72% |
| EMA 크로스오버 fast=52, slow=190 |
5.4% | -64.5% | 0.36 | 0.08 | 2.2x | 9 | 36% |
| ROC 모멘텀 n=56, threshold=-0.01 |
5.6% | -70.4% | 0.31 | 0.08 | 2.2x | 93 | 72% |
| Buy and hold | 10.0% | -73.7% | 0.43 | 0.14 | 4.1x | 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