Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Suzhou Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Suzhou Co Ltd Class A. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.4%, MDD -4.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.5%, drawdown -53.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -19.4%, Sharpe 0.28, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR -0.4%, MDD -4.2%, exposure 1%).
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=82, slow=275 |
2.8% | -19.4% | 0.28 | 0.15 | 1.2x | 5 | 37% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=15, mult=2.2 |
0.5% | -10.3% | 0.11 | 0.05 | 1.0x | 8 | 2% |
| ROC 모멘텀 n=9, threshold=-0.06 |
-0.5% | -40.1% | 0.10 | -0.01 | 1.0x | 59 | 93% |
| 볼린저 밴드 돌파 n=68, k=1.7 |
0.4% | -26.4% | 0.09 | 0.01 | 1.0x | 19 | 25% |
| Donchian 채널 돌파 entryN=58, exitN=19 |
-0.5% | -29.6% | 0.03 | -0.02 | 1.0x | 17 | 27% |
| EMA 크로스오버 fast=38, slow=180 |
-0.6% | -22.9% | 0.03 | -0.03 | 1.0x | 11 | 41% |
| MACD fast=13, slow=52, signal=18 |
-3.8% | -47.8% | -0.13 | -0.08 | 0.8x | 80 | 51% |
| Supertrend period=9, mult=2.3 |
-4.0% | -39.9% | -0.13 | -0.10 | 0.7x | 61 | 49% |
| ADX / DI 방향성 period=43, threshold=23 |
-0.4% | -4.2% | -0.22 | -0.09 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-7.6% | -57.4% | -0.35 | -0.13 | 0.6x | 137 | 44% |
| Buy and hold | -1.5% | -53.1% | 0.07 | -0.03 | 0.9x | 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 82-day average price crosses above the 275-day average
- Sell — Sell (to cash) when the 82-day average falls below the 275-day average