Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ping An Insurance (Group) Company of China, Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ping An Insurance (Group) Company of China, Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -30.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.5%, drawdown -85.7%).
Sharpe leader (same as main): Supertrend — CAGR 11.8%, MDD -62.0%, Sharpe 0.59, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 5.3%, MDD -30.3%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3.8 |
11.8% | -62.0% | 0.59 | 0.19 | 8.7x | 79 | 53% |
| EMA 크로스오버 fast=26, slow=29 |
10.6% | -47.6% | 0.55 | 0.22 | 7.1x | 83 | 53% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=29, mult=3 |
7.2% | -43.9% | 0.52 | 0.16 | 3.9x | 60 | 18% |
| SMA 크로스오버 fast=9, slow=72 |
9.6% | -52.4% | 0.52 | 0.18 | 5.9x | 81 | 52% |
| Donchian 채널 돌파 entryN=38, exitN=73 |
10.2% | -46.5% | 0.50 | 0.22 | 6.6x | 34 | 68% |
| 볼린저 밴드 돌파 n=30, k=2.6 |
6.4% | -52.8% | 0.46 | 0.12 | 3.4x | 76 | 21% |
| ROC 모멘텀 n=65, threshold=-0.03 |
8.3% | -55.1% | 0.45 | 0.15 | 4.7x | 186 | 60% |
| ADX / DI 방향성 period=32, threshold=26 |
5.3% | -30.3% | 0.43 | 0.17 | 2.7x | 34 | 13% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.5% | -51.3% | 0.43 | 0.15 | 4.1x | 149 | 50% |
| MACD fast=27, slow=53, signal=20 |
7.4% | -57.2% | 0.42 | 0.13 | 4.0x | 143 | 50% |
| Buy and hold | 4.5% | -85.7% | 0.30 | 0.05 | 2.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)