Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huaan Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huaan Securities Co., Ltd. Class A. 7 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 4.1%, MDD -23.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -72.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.1%, MDD -25.3%, Sharpe 0.49, 6% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 4.1%, MDD -23.8%, exposure 6%).
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=22, k=3.5 |
6.1% | -25.3% | 0.49 | 0.24 | 1.8x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=14, mult=3.9 |
4.1% | -23.8% | 0.34 | 0.17 | 1.5x | 14 | 6% |
| ROC 모멘텀 n=130, threshold=0.04 |
0.6% | -46.8% | 0.16 | 0.01 | 1.1x | 57 | 36% |
| Donchian 채널 돌파 entryN=111, exitN=37 |
0.2% | -39.3% | 0.12 | 0.01 | 1.0x | 11 | 19% |
| Supertrend period=29, mult=2.2 |
-0.4% | -69.3% | 0.11 | -0.01 | 1.0x | 92 | 41% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-0.7% | -59.0% | 0.11 | -0.01 | 0.9x | 150 | 46% |
| MACD fast=6, slow=31, signal=9 |
-0.9% | -64.5% | 0.10 | -0.01 | 0.9x | 213 | 50% |
| SMA 크로스오버 fast=42, slow=83 |
-2.4% | -48.7% | 0.04 | -0.05 | 0.8x | 39 | 42% |
| ADX / DI 방향성 period=8, threshold=35 |
-1.7% | -44.9% | 0.03 | -0.04 | 0.8x | 96 | 23% |
| EMA 크로스오버 fast=25, slow=107 |
-4.4% | -56.8% | -0.04 | -0.08 | 0.6x | 25 | 41% |
| Buy and hold | -1.1% | -72.3% | 0.16 | -0.01 | 0.9x | 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 22-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 22-day middle average