Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CITIC Securities Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of CITIC Securities Co. Ltd. Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.1%, MDD -54.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.5%, drawdown -76.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.4%, MDD -52.4%, Sharpe 0.65, 28% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.1%, MDD -54.6%, exposure 43%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 23.7%p (CAGR 14.1%, MDD -54.6%, exposure 43%).
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=17, k=2.1 |
13.4% | -52.4% | 0.65 | 0.26 | 19.3x | 206 | 28% |
| Donchian 채널 돌파 entryN=116, exitN=73 |
14.1% | -54.6% | 0.62 | 0.26 | 22.5x | 26 | 43% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=2.2 |
10.1% | -40.8% | 0.60 | 0.25 | 9.7x | 96 | 13% |
| Supertrend period=10, mult=2 |
13.9% | -58.8% | 0.60 | 0.24 | 21.4x | 247 | 47% |
| Parabolic SAR step=0.015, maxStep=0.1 |
12.0% | -57.6% | 0.53 | 0.21 | 14.6x | 352 | 50% |
| ADX / DI 방향성 period=26, threshold=38 |
6.5% | -26.2% | 0.52 | 0.25 | 4.4x | 16 | 5% |
| MACD fast=7, slow=22, signal=16 |
11.2% | -61.8% | 0.51 | 0.18 | 12.3x | 416 | 51% |
| SMA 크로스오버 fast=42, slow=122 |
11.0% | -71.2% | 0.51 | 0.16 | 11.8x | 61 | 50% |
| EMA 크로스오버 fast=50, slow=130 |
10.2% | -69.6% | 0.48 | 0.15 | 9.9x | 43 | 51% |
| ROC 모멘텀 n=106, threshold=0.04 |
7.1% | -76.8% | 0.39 | 0.09 | 5.0x | 230 | 44% |
| Buy and hold | 14.5% | -76.1% | 0.54 | 0.19 | 24.3x | 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 17-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 17-day middle average