Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Jingneng Power Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Jingneng Power Co., Ltd. Class A. 3 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 4.5%, MDD -17.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.8%, drawdown -80.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -17.4%, Sharpe 0.49, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 63.0%p (CAGR 4.5%, MDD -17.4%, exposure 4%).
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=20, k=3.3 |
4.5% | -17.4% | 0.49 | 0.26 | 2.9x | 18 | 4% |
| ADX / DI 방향성 period=25, threshold=40 |
3.1% | -22.6% | 0.41 | 0.14 | 2.1x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=3.4 |
3.3% | -45.3% | 0.28 | 0.07 | 2.2x | 44 | 9% |
| SMA 크로스오버 fast=46, slow=186 |
0.9% | -75.8% | 0.18 | 0.01 | 1.2x | 41 | 48% |
| EMA 크로스오버 fast=35, slow=71 |
0.1% | -82.4% | 0.15 | 0.00 | 1.0x | 80 | 45% |
| Supertrend period=19, mult=2.3 |
-0.2% | -75.6% | 0.14 | -0.00 | 1.0x | 230 | 47% |
| Donchian 채널 돌파 entryN=37, exitN=73 |
-1.1% | -77.9% | 0.13 | -0.01 | 0.8x | 61 | 61% |
| ROC 모멘텀 n=114, threshold=-0.04 |
-1.0% | -89.2% | 0.13 | -0.01 | 0.8x | 257 | 57% |
| MACD fast=16, slow=54, signal=18 |
-1.9% | -79.7% | 0.08 | -0.02 | 0.6x | 256 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.3% | -76.8% | 0.03 | -0.04 | 0.4x | 184 | 45% |
| Buy and hold | 1.8% | -80.4% | 0.25 | 0.02 | 1.6x | 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 20-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 20-day middle average