Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Jiangsu Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Jiangsu Co., Ltd. Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.3%, MDD -29.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.2%, drawdown -60.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -29.0%, Sharpe 0.29, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 3.3%, MDD -29.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=246 |
3.3% | -29.0% | 0.29 | 0.12 | 1.4x | 9 | 50% |
| Donchian 채널 돌파 entryN=82, exitN=56 |
2.1% | -29.3% | 0.21 | 0.07 | 1.2x | 13 | 37% |
| 볼린저 밴드 돌파 n=66, k=3.2 |
1.3% | -19.9% | 0.18 | 0.06 | 1.1x | 10 | 13% |
| EMA 크로스오버 fast=47, slow=259 |
1.4% | -38.2% | 0.17 | 0.04 | 1.1x | 11 | 52% |
| ROC 모멘텀 n=121, threshold=-0.09 |
1.2% | -45.0% | 0.16 | 0.03 | 1.1x | 49 | 70% |
| MACD fast=13, slow=28, signal=19 |
0.6% | -41.4% | 0.12 | 0.01 | 1.1x | 117 | 49% |
| Parabolic SAR step=0.015, maxStep=0.02 |
-0.2% | -54.3% | 0.08 | -0.00 | 1.0x | 55 | 46% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=16, mult=2.3 |
-0.3% | -22.8% | 0.00 | -0.01 | 1.0x | 28 | 8% |
| ADX / DI 방향성 period=29, threshold=22 |
-0.7% | -21.5% | -0.03 | -0.03 | 0.9x | 24 | 15% |
| Supertrend period=29, mult=3.2 |
-2.9% | -41.9% | -0.09 | -0.07 | 0.7x | 59 | 50% |
| Buy and hold | 3.2% | -60.6% | 0.26 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 246-day average
- Sell — Sell (to cash) when the 53-day average falls below the 246-day average