Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China CITIC Financial Asset Management Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of China CITIC Financial Asset Management Co., Ltd. Class H. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -40.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.7%, drawdown -94.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.4%, MDD -40.3%, Sharpe 0.38, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.1%, MDD -40.0%, exposure 25%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 54.3%p (CAGR 7.1%, MDD -40.0%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=3 |
6.4% | -40.3% | 0.38 | 0.16 | 2.0x | 14 | 4% |
| 볼린저 밴드 돌파 n=42, k=1.7 |
7.1% | -40.0% | 0.38 | 0.18 | 2.1x | 43 | 25% |
| SMA 크로스오버 fast=55, slow=152 |
5.0% | -50.9% | 0.31 | 0.10 | 1.7x | 18 | 43% |
| ADX / DI 방향성 period=6, threshold=45 |
2.5% | -70.1% | 0.25 | 0.04 | 1.3x | 88 | 19% |
| ROC 모멘텀 n=83, threshold=0.05 |
2.9% | -52.5% | 0.24 | 0.06 | 1.4x | 102 | 33% |
| Donchian 채널 돌파 entryN=27, exitN=69 |
0.5% | -73.9% | 0.21 | 0.01 | 1.1x | 21 | 62% |
| Supertrend period=18, mult=2.6 |
-0.6% | -67.4% | 0.17 | -0.01 | 0.9x | 66 | 44% |
| MACD fast=15, slow=40, signal=19 |
-0.8% | -71.1% | 0.14 | -0.01 | 0.9x | 103 | 47% |
| EMA 크로스오버 fast=16, slow=82 |
-1.5% | -72.9% | 0.14 | -0.02 | 0.9x | 28 | 44% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-3.7% | -76.0% | 0.09 | -0.05 | 0.7x | 141 | 46% |
| Buy and hold | -13.7% | -94.6% | -0.08 | -0.14 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average