Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Xiaomi Corporation Class B backtest
10 trend-following strategies were compared on the full daily history of Xiaomi Corporation Class B. 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 19.6%, MDD -14.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.8%, drawdown -76.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.6%, MDD -14.5%, Sharpe 1.15, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 32.3%, MDD -38.2%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 19.6%, MDD -14.5%, exposure 13%).
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=32, k=3.5 |
19.6% | -14.5% | 1.15 | 1.35 | 4.2x | 6 | 13% |
| Donchian 채널 돌파 entryN=82, exitN=15 |
22.8% | -30.1% | 1.01 | 0.76 | 5.2x | 14 | 20% |
| SMA 크로스오버 fast=15, slow=211 |
32.3% | -38.2% | 1.00 | 0.84 | 9.5x | 6 | 52% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=3.4 |
23.7% | -30.4% | 0.99 | 0.78 | 5.6x | 14 | 25% |
| ROC 모멘텀 n=142, threshold=0.06 |
27.2% | -45.0% | 0.92 | 0.60 | 7.0x | 46 | 46% |
| ADX / DI 방향성 period=30, threshold=14 |
23.7% | -42.6% | 0.92 | 0.56 | 5.6x | 39 | 31% |
| EMA 크로스오버 fast=56, slow=149 |
27.5% | -40.9% | 0.90 | 0.67 | 7.1x | 6 | 51% |
| Supertrend period=12, mult=3.8 |
19.3% | -42.5% | 0.73 | 0.45 | 4.2x | 29 | 43% |
| MACD fast=14, slow=54, signal=19 |
13.8% | -62.5% | 0.56 | 0.22 | 2.8x | 83 | 51% |
| Parabolic SAR step=0.015, maxStep=0.38 |
6.9% | -71.2% | 0.37 | 0.10 | 1.7x | 135 | 48% |
| Buy and hold | 6.8% | -76.1% | 0.38 | 0.09 | 1.7x | 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 32-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 32-day middle average