Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China XD Electric Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China XD Electric Co., Ltd. Class A. 9 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 12.0%, MDD -37.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.9%, drawdown -77.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.0%, MDD -37.2%, Sharpe 0.60, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 40.8%p (CAGR 12.0%, MDD -37.2%, exposure 24%).
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=50, k=2.6 |
12.0% | -37.2% | 0.60 | 0.32 | 6.6x | 40 | 24% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=2.3 |
11.4% | -37.8% | 0.56 | 0.30 | 6.0x | 48 | 26% |
| SMA 크로스오버 fast=43, slow=99 |
10.4% | -52.1% | 0.49 | 0.20 | 5.2x | 40 | 44% |
| Donchian 채널 돌파 entryN=103, exitN=17 |
8.1% | -40.3% | 0.46 | 0.20 | 3.6x | 30 | 18% |
| EMA 크로스오버 fast=34, slow=91 |
8.3% | -52.1% | 0.42 | 0.16 | 3.8x | 32 | 44% |
| Supertrend period=15, mult=4.9 |
7.0% | -64.3% | 0.38 | 0.11 | 3.1x | 40 | 49% |
| ADX / DI 방향성 period=36, threshold=27 |
5.1% | -57.4% | 0.36 | 0.09 | 2.3x | 12 | 9% |
| MACD fast=29, slow=74, signal=24 |
5.9% | -68.7% | 0.35 | 0.09 | 2.6x | 108 | 54% |
| ROC 모멘텀 n=125, threshold=0.09 |
3.0% | -64.0% | 0.25 | 0.05 | 1.6x | 88 | 32% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.1% | -73.5% | 0.10 | -0.01 | 0.8x | 262 | 47% |
| Buy and hold | 2.9% | -77.9% | 0.27 | 0.04 | 1.6x | 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 50-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 50-day middle average