Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China CSSC Holdings Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China CSSC Holdings Limited Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.9%, MDD -49.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 9.8%, drawdown -93.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.3%, MDD -51.2%, Sharpe 0.63, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.0%, MDD -57.6%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 13.9%, MDD -49.3%, exposure 33%).
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=55, k=3.1 |
13.3% | -51.2% | 0.63 | 0.26 | 33.6x | 46 | 19% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=21, mult=1.9 |
13.9% | -49.3% | 0.60 | 0.28 | 39.2x | 136 | 33% |
| SMA 크로스오버 fast=45, slow=133 |
15.0% | -57.6% | 0.59 | 0.26 | 51.6x | 52 | 53% |
| Donchian 채널 돌파 entryN=71, exitN=46 |
14.2% | -57.5% | 0.58 | 0.25 | 42.4x | 52 | 45% |
| Supertrend period=21, mult=2.1 |
13.2% | -62.4% | 0.55 | 0.21 | 33.1x | 278 | 45% |
| Parabolic SAR step=0.01, maxStep=0.3 |
12.4% | -57.7% | 0.53 | 0.21 | 26.9x | 338 | 49% |
| ROC 모멘텀 n=69, threshold=0.02 |
11.9% | -68.9% | 0.51 | 0.17 | 23.9x | 304 | 49% |
| EMA 크로스오버 fast=18, slow=90 |
11.8% | -68.8% | 0.50 | 0.17 | 23.0x | 78 | 51% |
| ADX / DI 방향성 period=26, threshold=12 |
10.2% | -74.3% | 0.46 | 0.14 | 15.5x | 288 | 48% |
| MACD fast=9, slow=34, signal=7 |
6.3% | -69.0% | 0.35 | 0.09 | 5.6x | 567 | 51% |
| Buy and hold | 9.8% | -93.4% | 0.44 | 0.10 | 13.8x | 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 55-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 55-day middle average