Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huadian Power International Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huadian Power International Corp. Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -16.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.3%, drawdown -77.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.9%, MDD -38.2%, Sharpe 0.55, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 2.2%, MDD -16.7%, 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=30, k=3 |
7.9% | -38.2% | 0.55 | 0.21 | 5.1x | 38 | 12% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=3.3 |
6.4% | -35.4% | 0.41 | 0.18 | 3.8x | 38 | 14% |
| ADX / DI 방향성 period=22, threshold=45 |
2.2% | -16.7% | 0.38 | 0.13 | 1.6x | 6 | 1% |
| Donchian 채널 돌파 entryN=87, exitN=17 |
5.9% | -53.5% | 0.38 | 0.11 | 3.5x | 42 | 20% |
| SMA 크로스오버 fast=77, slow=258 |
5.6% | -61.8% | 0.34 | 0.09 | 3.2x | 22 | 42% |
| EMA 크로스오버 fast=15, slow=183 |
4.1% | -72.3% | 0.29 | 0.06 | 2.4x | 50 | 39% |
| ROC 모멘텀 n=119, threshold=0.13 |
3.9% | -71.2% | 0.28 | 0.06 | 2.3x | 122 | 26% |
| Supertrend period=12, mult=3.7 |
3.9% | -73.8% | 0.28 | 0.05 | 2.3x | 94 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.6% | -82.3% | 0.23 | 0.03 | 1.7x | 153 | 45% |
| MACD fast=17, slow=68, signal=11 |
1.9% | -80.7% | 0.21 | 0.02 | 1.5x | 261 | 52% |
| Buy and hold | 1.3% | -77.3% | 0.23 | 0.02 | 1.3x | 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 30-day average (3× volatility)
- Sell — Sell when the close falls back to the 30-day middle average