Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Life Insurance Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Life Insurance Co. Ltd. Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.1%, MDD -17.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.1%, drawdown -82.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -54.4%, Sharpe 0.35, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 2.1%, MDD -17.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=71, exitN=66 |
5.6% | -54.4% | 0.35 | 0.10 | 2.9x | 31 | 48% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
4.0% | -24.3% | 0.34 | 0.16 | 2.2x | 28 | 8% |
| SMA 크로스오버 fast=59, slow=149 |
4.9% | -53.8% | 0.32 | 0.09 | 2.6x | 30 | 47% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=3.1 |
4.2% | -44.9% | 0.32 | 0.09 | 2.3x | 40 | 18% |
| ADX / DI 방향성 period=38, threshold=38 |
2.1% | -17.1% | 0.31 | 0.12 | 1.5x | 2 | 1% |
| ROC 모멘텀 n=94, threshold=-0.02 |
2.9% | -72.7% | 0.24 | 0.04 | 1.7x | 190 | 52% |
| EMA 크로스오버 fast=48, slow=77 |
2.8% | -69.6% | 0.24 | 0.04 | 1.7x | 44 | 47% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-0.8% | -71.7% | 0.10 | -0.01 | 0.9x | 123 | 44% |
| MACD fast=16, slow=38, signal=14 |
-1.0% | -66.3% | 0.09 | -0.02 | 0.8x | 241 | 50% |
| Supertrend period=19, mult=2.9 |
-1.4% | -67.5% | 0.08 | -0.02 | 0.8x | 127 | 46% |
| Buy and hold | 0.1% | -82.8% | 0.19 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 71 days
- Sell — Sell when price breaks below the lowest low of the last 66 days