Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Industrial and Commercial Bank of China Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Industrial and Commercial Bank of China Limited Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.0%, MDD -38.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.7%, drawdown -62.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -38.1%, Sharpe 0.37, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 5.0%, MDD -38.1%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=123 |
5.0% | -38.1% | 0.37 | 0.13 | 2.6x | 33 | 54% |
| Donchian 채널 돌파 entryN=108, exitN=69 |
4.2% | -36.7% | 0.34 | 0.12 | 2.3x | 21 | 47% |
| Supertrend period=9, mult=5 |
4.7% | -49.8% | 0.34 | 0.09 | 2.5x | 45 | 61% |
| EMA 크로스오버 fast=48, slow=71 |
4.0% | -52.3% | 0.31 | 0.08 | 2.2x | 41 | 53% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=10, mult=2.6 |
2.9% | -41.6% | 0.27 | 0.07 | 1.8x | 57 | 28% |
| 볼린저 밴드 돌파 n=61, k=3.3 |
1.4% | -33.5% | 0.19 | 0.04 | 1.3x | 22 | 13% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.6% | -60.0% | 0.12 | 0.01 | 1.1x | 135 | 48% |
| ROC 모멘텀 n=129, threshold=0.1 |
0.5% | -43.0% | 0.11 | 0.01 | 1.1x | 118 | 26% |
| ADX / DI 방향성 period=11, threshold=36 |
-0.2% | -40.5% | 0.04 | -0.00 | 1.0x | 101 | 13% |
| MACD fast=13, slow=43, signal=19 |
-1.8% | -62.4% | -0.02 | -0.03 | 0.7x | 209 | 50% |
| Buy and hold | 4.7% | -62.8% | 0.32 | 0.07 | 2.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 49-day average falls below the 123-day average