Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Baiyin Nonferrous Group Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Baiyin Nonferrous Group Co Ltd Class A. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -38.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.2%, drawdown -86.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.9%, MDD -55.3%, Sharpe 0.75, 5% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 8.4%, MDD -38.1%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=5, threshold=0.1 |
14.9% | -55.3% | 0.75 | 0.27 | 3.7x | 82 | 5% |
| Parabolic SAR step=0.03, maxStep=0.38 |
11.2% | -74.3% | 0.48 | 0.15 | 2.7x | 217 | 44% |
| 볼린저 밴드 돌파 n=39, k=2.2 |
8.4% | -38.1% | 0.42 | 0.22 | 2.1x | 38 | 24% |
| Supertrend period=8, mult=2.1 |
8.1% | -76.8% | 0.40 | 0.10 | 2.1x | 106 | 42% |
| ADX / DI 방향성 period=39, threshold=23 |
5.4% | -50.7% | 0.35 | 0.11 | 1.6x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=1.7 |
5.4% | -67.3% | 0.33 | 0.08 | 1.6x | 62 | 14% |
| Donchian 채널 돌파 entryN=67, exitN=15 |
5.1% | -42.0% | 0.33 | 0.12 | 1.6x | 18 | 16% |
| MACD fast=19, slow=50, signal=12 |
-0.3% | -59.1% | 0.16 | -0.01 | 1.0x | 101 | 49% |
| SMA 크로스오버 fast=11, slow=31 |
-0.9% | -74.6% | 0.14 | -0.01 | 0.9x | 80 | 41% |
| EMA 크로스오버 fast=42, slow=93 |
-2.9% | -71.0% | 0.06 | -0.04 | 0.8x | 24 | 40% |
| Buy and hold | 6.2% | -86.4% | 0.36 | 0.07 | 1.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than 10%
- Sell — Sell when the 5-day return drops to 10% or below