Trend-Following Backtester · Guide · backtest 한국어
equity · CN
PetroChina Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of PetroChina Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -21.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.1%, drawdown -90.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -27.9%, Sharpe 0.29, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.5%, MDD -39.6%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 63.0%p (CAGR 1.1%, MDD -21.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=3.5 |
2.7% | -27.9% | 0.29 | 0.10 | 1.7x | 16 | 9% |
| SMA 크로스오버 fast=30, slow=142 |
3.5% | -39.6% | 0.28 | 0.09 | 1.9x | 30 | 39% |
| Donchian 채널 돌파 entryN=77, exitN=14 |
2.9% | -42.6% | 0.27 | 0.07 | 1.7x | 40 | 16% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=23, mult=3.7 |
2.0% | -43.3% | 0.22 | 0.05 | 1.4x | 36 | 11% |
| ADX / DI 방향성 period=27, threshold=38 |
1.1% | -21.1% | 0.19 | 0.05 | 1.2x | 8 | 2% |
| ROC 모멘텀 n=128, threshold=0.02 |
-0.0% | -46.0% | 0.10 | -0.00 | 1.0x | 139 | 35% |
| EMA 크로스오버 fast=42, slow=93 |
-0.1% | -49.4% | 0.09 | -0.00 | 1.0x | 40 | 39% |
| Supertrend period=9, mult=4 |
-1.1% | -64.2% | 0.05 | -0.02 | 0.8x | 71 | 47% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.8% | -66.4% | 0.00 | -0.03 | 0.7x | 139 | 42% |
| MACD fast=23, slow=53, signal=14 |
-3.5% | -82.1% | -0.07 | -0.04 | 0.5x | 181 | 52% |
| Buy and hold | -7.1% | -90.8% | -0.13 | -0.08 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 59-day middle average