Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Xiamen Tungsten Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Xiamen Tungsten Co. Ltd. Class A. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.7%, MDD -46.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.5%, drawdown -75.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.7%, MDD -46.2%, Sharpe 0.66, 37% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 16.7%, MDD -46.2%, exposure 37%).
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=53, k=1.5 |
16.7% | -46.2% | 0.66 | 0.36 | 39.4x | 98 | 37% |
| ADX / DI 방향성 period=39, threshold=26 |
8.8% | -34.0% | 0.62 | 0.26 | 7.4x | 8 | 7% |
| ROC 모멘텀 n=132, threshold=-0.02 |
14.2% | -62.0% | 0.55 | 0.23 | 23.3x | 162 | 58% |
| Donchian 채널 돌파 entryN=56, exitN=40 |
13.2% | -59.7% | 0.54 | 0.22 | 19.1x | 52 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=2.6 |
12.1% | -50.6% | 0.54 | 0.24 | 15.2x | 74 | 31% |
| SMA 크로스오버 fast=38, slow=136 |
13.0% | -60.9% | 0.52 | 0.21 | 18.0x | 39 | 51% |
| EMA 크로스오버 fast=8, slow=156 |
12.2% | -62.6% | 0.50 | 0.19 | 15.2x | 72 | 52% |
| Supertrend period=24, mult=5 |
11.9% | -66.9% | 0.50 | 0.18 | 14.4x | 64 | 52% |
| MACD fast=8, slow=46, signal=10 |
7.3% | -82.0% | 0.38 | 0.09 | 5.3x | 442 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
5.5% | -77.5% | 0.33 | 0.07 | 3.6x | 306 | 48% |
| Buy and hold | 13.5% | -75.2% | 0.51 | 0.18 | 20.2x | 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 53-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 53-day middle average