Trend-Following Backtester · Guide · backtest 한국어
equity · HK
SINOPEC Engineering (Group) Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of SINOPEC Engineering (Group) Co., Ltd. Class H. 8 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 1.2%, MDD -4.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.0%, drawdown -79.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.2%, MDD -4.4%, Sharpe 0.54, 1% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.4%, MDD -25.5%, exposure 20%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 74.6%p (CAGR 1.2%, MDD -4.4%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=3.2 |
1.2% | -4.4% | 0.54 | 0.28 | 1.2x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=2.5 |
4.4% | -25.5% | 0.36 | 0.17 | 1.8x | 36 | 20% |
| Donchian 채널 돌파 entryN=72, exitN=9 |
3.0% | -26.7% | 0.29 | 0.11 | 1.5x | 36 | 16% |
| ADX / DI 방향성 period=26, threshold=23 |
1.2% | -21.7% | 0.17 | 0.06 | 1.2x | 28 | 13% |
| SMA 크로스오버 fast=31, slow=92 |
0.8% | -51.3% | 0.15 | 0.02 | 1.1x | 34 | 44% |
| EMA 크로스오버 fast=31, slow=64 |
-0.2% | -56.4% | 0.10 | -0.00 | 1.0x | 34 | 43% |
| Supertrend period=19, mult=2.2 |
-1.4% | -57.1% | 0.05 | -0.03 | 0.8x | 114 | 48% |
| ROC 모멘텀 n=51, threshold=0.04 |
-1.4% | -59.1% | 0.02 | -0.02 | 0.8x | 170 | 35% |
| MACD fast=18, slow=45, signal=13 |
-5.3% | -71.3% | -0.13 | -0.07 | 0.5x | 156 | 49% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-7.7% | -74.4% | -0.25 | -0.10 | 0.3x | 176 | 48% |
| Buy and hold | -5.0% | -79.0% | 0.01 | -0.06 | 0.5x | 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 13-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 13-day middle average