Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China State Construction International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of China State Construction International Holdings Limited. 4 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 12.3%, MDD -35.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.2%, drawdown -85.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.3%, MDD -35.3%, Sharpe 0.65, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.4%, MDD -74.8%, exposure 64%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 12.3%, MDD -35.3%, exposure 19%).
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=45, k=3 |
12.3% | -35.3% | 0.65 | 0.35 | 21.8x | 52 | 19% |
| ADX / DI 방향성 period=30, threshold=30 |
8.3% | -30.4% | 0.61 | 0.27 | 8.3x | 18 | 7% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=36, mult=3.6 |
10.9% | -59.0% | 0.60 | 0.19 | 15.7x | 54 | 18% |
| Donchian 채널 돌파 entryN=38, exitN=64 |
15.4% | -74.8% | 0.59 | 0.21 | 44.7x | 56 | 64% |
| ROC 모멘텀 n=146, threshold=0.18 |
12.9% | -43.9% | 0.58 | 0.29 | 25.4x | 146 | 35% |
| Supertrend period=16, mult=3.8 |
12.8% | -70.6% | 0.53 | 0.18 | 24.5x | 113 | 59% |
| SMA 크로스오버 fast=52, slow=151 |
12.2% | -68.4% | 0.52 | 0.18 | 21.1x | 38 | 53% |
| EMA 크로스오버 fast=39, slow=74 |
11.7% | -68.2% | 0.51 | 0.17 | 18.8x | 64 | 54% |
| MACD fast=21, slow=24, signal=11 |
10.4% | -62.6% | 0.48 | 0.17 | 14.0x | 375 | 49% |
| Parabolic SAR step=0.01, maxStep=0.22 |
8.5% | -77.7% | 0.42 | 0.11 | 8.7x | 321 | 52% |
| Buy and hold | 12.2% | -85.1% | 0.48 | 0.14 | 21.4x | 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 45-day average (3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average