Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Baoshan Iron & Steel Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Baoshan Iron & Steel Co., Ltd. Class A. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.7%, MDD -36.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.0%, drawdown -83.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -57.7%, Sharpe 0.43, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 5.7%, MDD -36.0%, exposure 28%).
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=22, slow=188 |
7.8% | -57.7% | 0.43 | 0.14 | 6.9x | 46 | 45% |
| Donchian 채널 돌파 entryN=76, exitN=24 |
6.4% | -44.4% | 0.40 | 0.14 | 4.9x | 52 | 28% |
| EMA 크로스오버 fast=30, slow=122 |
6.6% | -54.7% | 0.38 | 0.12 | 5.1x | 46 | 44% |
| 볼린저 밴드 돌파 n=58, k=2.4 |
5.7% | -36.0% | 0.38 | 0.16 | 4.1x | 68 | 28% |
| Supertrend period=10, mult=5 |
6.3% | -51.2% | 0.37 | 0.12 | 4.8x | 61 | 51% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=3.4 |
5.3% | -42.5% | 0.36 | 0.12 | 3.7x | 52 | 24% |
| ROC 모멘텀 n=106, threshold=0.08 |
5.6% | -49.7% | 0.35 | 0.11 | 4.0x | 188 | 32% |
| ADX / DI 방향성 period=14, threshold=39 |
2.9% | -45.4% | 0.28 | 0.06 | 2.1x | 66 | 10% |
| Parabolic SAR step=0.01, maxStep=0.18 |
0.7% | -62.9% | 0.15 | 0.01 | 1.2x | 301 | 47% |
| MACD fast=13, slow=31, signal=16 |
-3.1% | -71.2% | -0.01 | -0.04 | 0.4x | 353 | 52% |
| Buy and hold | 0.0% | -83.3% | 0.17 | 0.00 | 1.0x | 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 22-day average price crosses above the 188-day average
- Sell — Sell (to cash) when the 22-day average falls below the 188-day average