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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

BAIC BluePark New Energy Technology Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of BAIC BluePark New Energy Technology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.4%, MDD -11.1%).

Data 1996-08-16 ~ 2026-08-31daily bars 7,466 (30.0 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR 6.1%, drawdown -91.5%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.4%, MDD -11.1%, Sharpe 1.03, 3% exposure.

CAGR reference leader: MACD — CAGR 17.2%, MDD -78.4%, exposure 47%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 80.4%p (CAGR 6.4%, MDD -11.1%, exposure 3%).

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
Keltner 채널 돌파
emaPeriod=8, atrPeriod=12, mult=3.5
6.4%-11.1%1.030.586.4x43%
볼린저 밴드 돌파
n=17, k=3.5
6.2%-15.7%1.000.396.1x43%
MACD
fast=19, slow=20, signal=15
17.2%-78.4%0.650.22118.1x36447%
Donchian 채널 돌파
entryN=98, exitN=7
11.9%-42.2%0.640.2829.6x7216%
Supertrend
period=9, mult=3.3
16.7%-58.4%0.620.29103.1x14255%
EMA 크로스오버
fast=31, slow=158
13.6%-64.3%0.550.2146.1x4250%
Parabolic SAR
step=0.005, maxStep=0.26
13.3%-77.4%0.540.1742.7x21450%
ADX / DI 방향성
period=17, threshold=22
11.5%-51.5%0.520.2226.3x20633%
ROC 모멘텀
n=111, threshold=0.02
12.0%-68.0%0.510.1829.8x25445%
SMA 크로스오버
fast=10, slow=153
10.3%-72.7%0.470.1419.2x8247%
Buy and hold6.1%-91.5%0.360.075.9x1100%
1x 10x 100x 1997 2001 2005 2009 2013 2017 2021 2025 MACDKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -23% -46% -69% -92% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdMACDKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -11.1% (2007-05-09 → 2018-09-20), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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.
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