Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Nanjing Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Nanjing Co., Ltd. Class A. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.8%, MDD -40.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.6%, drawdown -69.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -46.4%, Sharpe 0.35, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 2.8%, MDD -40.9%, exposure 16%).
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=80, slow=170 |
5.3% | -46.4% | 0.35 | 0.11 | 2.7x | 32 | 46% |
| EMA 크로스오버 fast=26, slow=350 |
4.8% | -46.4% | 0.33 | 0.10 | 2.5x | 23 | 57% |
| Donchian 채널 돌파 entryN=96, exitN=21 |
3.9% | -51.5% | 0.32 | 0.08 | 2.1x | 36 | 26% |
| ADX / DI 방향성 period=25, threshold=27 |
3.3% | -45.4% | 0.30 | 0.07 | 1.8x | 36 | 13% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=27, mult=2.5 |
2.8% | -40.9% | 0.27 | 0.07 | 1.7x | 66 | 16% |
| 볼린저 밴드 돌파 n=55, k=2.6 |
2.3% | -50.4% | 0.23 | 0.05 | 1.6x | 44 | 20% |
| ROC 모멘텀 n=119, threshold=-0.04 |
1.9% | -62.2% | 0.20 | 0.03 | 1.4x | 165 | 60% |
| Supertrend period=20, mult=2.9 |
-0.8% | -56.5% | 0.08 | -0.01 | 0.9x | 123 | 53% |
| MACD fast=10, slow=57, signal=19 |
-0.8% | -63.9% | 0.07 | -0.01 | 0.9x | 235 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.3% | -61.9% | 0.00 | -0.04 | 0.6x | 153 | 50% |
| Buy and hold | 2.6% | -69.3% | 0.24 | 0.04 | 1.6x | 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 80-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 80-day average falls below the 170-day average