Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Qilu Bank Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Qilu Bank Co Ltd Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -1.4%, MDD -18.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.9%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -20.7%, Sharpe 0.66, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR -1.4%, MDD -18.7%, exposure 7%).
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=56, slow=254 |
9.8% | -20.7% | 0.66 | 0.48 | 1.6x | 3 | 36% |
| EMA 크로스오버 fast=37, slow=285 |
8.4% | -20.7% | 0.57 | 0.41 | 1.5x | 3 | 43% |
| ADX / DI 방향성 period=48, threshold=14 |
2.8% | -20.1% | 0.30 | 0.14 | 1.2x | 8 | 23% |
| ROC 모멘텀 n=132, threshold=-0.02 |
0.6% | -36.9% | 0.14 | 0.02 | 1.0x | 35 | 49% |
| MACD fast=15, slow=43, signal=12 |
-2.4% | -40.7% | -0.01 | -0.06 | 0.9x | 65 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=3.3 |
-1.3% | -24.4% | -0.07 | -0.05 | 0.9x | 6 | 2% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.2% | -57.6% | -0.11 | -0.09 | 0.8x | 67 | 47% |
| Supertrend period=24, mult=4.3 |
-4.9% | -42.2% | -0.12 | -0.12 | 0.8x | 19 | 58% |
| Donchian 채널 돌파 entryN=88, exitN=39 |
-3.8% | -41.9% | -0.12 | -0.09 | 0.8x | 11 | 33% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
-1.4% | -18.7% | -0.16 | -0.08 | 0.9x | 4 | 7% |
| Buy and hold | -1.9% | -69.8% | 0.08 | -0.03 | 0.9x | 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 56-day average price crosses above the 254-day average
- Sell — Sell (to cash) when the 56-day average falls below the 254-day average