Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Zheshang Bank Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China Zheshang Bank 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 0.8%, MDD -9.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -48.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -27.4%, Sharpe 0.24, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 0.8%, MDD -9.7%, exposure 4%).
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=57, k=2.5 |
1.8% | -27.4% | 0.24 | 0.07 | 1.1x | 10 | 13% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=22, mult=3.2 |
1.4% | -23.2% | 0.18 | 0.06 | 1.1x | 10 | 10% |
| Donchian 채널 돌파 entryN=67, exitN=10 |
1.3% | -25.5% | 0.18 | 0.05 | 1.1x | 12 | 11% |
| ADX / DI 방향성 period=24, threshold=32 |
0.8% | -9.7% | 0.17 | 0.09 | 1.1x | 6 | 4% |
| SMA 크로스오버 fast=99, slow=197 |
0.7% | -21.4% | 0.12 | 0.03 | 1.0x | 6 | 24% |
| ROC 모멘텀 n=54, threshold=0.12 |
-0.5% | -20.4% | -0.03 | -0.03 | 1.0x | 12 | 6% |
| Supertrend period=28, mult=5 |
-1.9% | -26.8% | -0.07 | -0.07 | 0.9x | 15 | 35% |
| EMA 크로스오버 fast=54, slow=137 |
-1.6% | -21.5% | -0.14 | -0.08 | 0.9x | 6 | 23% |
| MACD fast=17, slow=37, signal=13 |
-5.0% | -46.3% | -0.28 | -0.11 | 0.7x | 80 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.9% | -37.3% | -0.31 | -0.13 | 0.7x | 68 | 44% |
| Buy and hold | -6.9% | -48.9% | -0.28 | -0.14 | 0.6x | 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 57-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average