Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Agricultural Bank of China Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Agricultural Bank of China Limited Class A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -42.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -26.4%, Sharpe 0.35, 30% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.3%, MDD -46.1%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=138, threshold=0.07 |
4.1% | -26.4% | 0.35 | 0.15 | 1.9x | 76 | 30% |
| SMA 크로스오버 fast=43, slow=161 |
4.3% | -46.1% | 0.35 | 0.09 | 2.0x | 28 | 55% |
| Donchian 채널 돌파 entryN=101, exitN=57 |
3.9% | -40.1% | 0.34 | 0.10 | 1.9x | 24 | 41% |
| EMA 크로스오버 fast=36, slow=263 |
3.9% | -42.2% | 0.32 | 0.09 | 1.8x | 22 | 44% |
| Supertrend period=9, mult=4.5 |
2.6% | -40.2% | 0.24 | 0.06 | 1.5x | 47 | 63% |
| 볼린저 밴드 돌파 n=36, k=3 |
1.9% | -38.9% | 0.23 | 0.05 | 1.4x | 40 | 16% |
| ADX / DI 방향성 period=28, threshold=22 |
1.7% | -28.0% | 0.20 | 0.06 | 1.3x | 46 | 24% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=27, mult=4 |
1.0% | -33.2% | 0.16 | 0.03 | 1.2x | 26 | 10% |
| MACD fast=18, slow=45, signal=20 |
-1.1% | -54.1% | 0.00 | -0.02 | 0.8x | 153 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.3% | -65.9% | -0.08 | -0.04 | 0.7x | 115 | 50% |
| Buy and hold | 6.0% | -42.7% | 0.40 | 0.14 | 2.6x | 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 138-day return is greater than 7%
- Sell — Sell when the 138-day return drops to 7% or below