Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Industrial Bank Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Industrial Bank Co., Ltd. Class A. 5 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 5.8%, MDD -35.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.3%, drawdown -82.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.8%, MDD -35.6%, Sharpe 0.43, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.4%, MDD -51.2%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 5.8%, MDD -35.6%, exposure 18%).
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=51, k=2.8 |
5.8% | -35.6% | 0.43 | 0.16 | 3.0x | 38 | 18% |
| SMA 크로스오버 fast=42, slow=101 |
6.4% | -51.2% | 0.39 | 0.12 | 3.3x | 49 | 48% |
| Supertrend period=12, mult=4.3 |
5.7% | -57.7% | 0.36 | 0.10 | 2.9x | 73 | 53% |
| EMA 크로스오버 fast=47, slow=60 |
5.3% | -46.5% | 0.35 | 0.12 | 2.8x | 48 | 50% |
| Donchian 채널 돌파 entryN=52, exitN=66 |
4.7% | -55.6% | 0.32 | 0.08 | 2.5x | 41 | 57% |
| ROC 모멘텀 n=68, threshold=0.05 |
3.5% | -66.7% | 0.27 | 0.05 | 2.0x | 220 | 36% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=2.3 |
3.1% | -45.2% | 0.26 | 0.07 | 1.8x | 96 | 26% |
| Parabolic SAR step=0.005, maxStep=0.08 |
3.3% | -47.0% | 0.26 | 0.07 | 1.9x | 152 | 49% |
| ADX / DI 방향성 period=24, threshold=15 |
3.2% | -55.7% | 0.26 | 0.06 | 1.9x | 178 | 41% |
| MACD fast=17, slow=27, signal=15 |
2.9% | -69.1% | 0.24 | 0.04 | 1.8x | 232 | 51% |
| Buy and hold | 4.3% | -82.5% | 0.30 | 0.05 | 2.3x | 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 51-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 51-day middle average