Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Construction Bank Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of China Construction Bank Corporation Class A. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -24.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.3%, drawdown -67.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -38.4%, Sharpe 0.42, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 1.1%, MDD -24.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=147 |
6.0% | -38.4% | 0.42 | 0.16 | 3.0x | 29 | 52% |
| EMA 크로스오버 fast=46, slow=84 |
5.1% | -44.2% | 0.37 | 0.12 | 2.6x | 33 | 52% |
| Donchian 채널 돌파 entryN=87, exitN=74 |
3.8% | -52.6% | 0.30 | 0.07 | 2.0x | 25 | 53% |
| ROC 모멘텀 n=85, threshold=-0.06 |
3.6% | -55.2% | 0.28 | 0.07 | 1.9x | 123 | 71% |
| Supertrend period=9, mult=4.3 |
2.6% | -42.2% | 0.23 | 0.06 | 1.6x | 55 | 56% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=3.2 |
1.1% | -24.3% | 0.17 | 0.05 | 1.2x | 20 | 4% |
| ADX / DI 방향성 period=28, threshold=22 |
1.1% | -33.5% | 0.15 | 0.03 | 1.2x | 62 | 15% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
0.8% | -32.4% | 0.14 | 0.03 | 1.2x | 22 | 7% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.7% | -53.5% | 0.06 | -0.01 | 0.9x | 131 | 49% |
| MACD fast=17, slow=57, signal=24 |
-1.0% | -44.5% | 0.03 | -0.02 | 0.8x | 157 | 51% |
| Buy and hold | 1.3% | -67.5% | 0.18 | 0.02 | 1.3x | 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 50-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 50-day average falls below the 147-day average