Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Huadian Liaoning Energy Development Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Huadian Liaoning Energy Development Co., Ltd. Class A. 6 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 8.5%, MDD -46.0%).

Data 2001-03-28 ~ 2026-07-31daily bars 6,242 (25.3 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 6.5%, drawdown -87.5%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.0%, MDD -47.4%, Sharpe 0.57, 6% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 8.5%, MDD -46.0%, exposure 10%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=30, k=3.4
10.0%-47.4%0.570.2111.1x246%
Keltner 채널 돌파
emaPeriod=25, atrPeriod=20, mult=3.4
8.5%-46.0%0.470.187.9x5210%
Donchian 채널 돌파
entryN=94, exitN=52
9.7%-75.0%0.450.1310.6x3335%
SMA 크로스오버
fast=34, slow=104
9.7%-69.0%0.440.1410.4x5747%
ADX / DI 방향성
period=18, threshold=40
5.5%-37.8%0.420.143.8x284%
Supertrend
period=18, mult=2.1
7.5%-64.6%0.390.126.3x26547%
Parabolic SAR
step=0.02, maxStep=0.28
6.6%-75.3%0.360.095.1x47148%
EMA 크로스오버
fast=55, slow=68
6.3%-81.1%0.350.084.7x6747%
MACD
fast=19, slow=27, signal=15
6.0%-70.3%0.340.094.4x30350%
ROC 모멘텀
n=112, threshold=0.13
5.7%-82.9%0.340.074.1x15927%
Buy and hold6.5%-87.5%0.370.074.9x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 2002 2006 2010 2014 2018 2022 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -47.4% (2021-12-21 → 2026-03-09), recovered after 1,554 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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