Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ping An Bank Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ping An Bank Co. Ltd. Class A. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.2%, MDD -46.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.4%, drawdown -84.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.6%, MDD -54.0%, Sharpe 0.66, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 12.2%, MDD -46.4%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=12, slow=110 |
15.6% | -54.0% | 0.66 | 0.29 | 176.1x | 97 | 43% |
| SMA 크로스오버 fast=16, slow=130 |
14.4% | -57.8% | 0.62 | 0.25 | 119.3x | 84 | 44% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
12.6% | -56.3% | 0.60 | 0.22 | 67.8x | 129 | 30% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.3 |
12.2% | -46.4% | 0.59 | 0.26 | 59.5x | 95 | 25% |
| Donchian 채널 돌파 entryN=48, exitN=36 |
12.7% | -56.2% | 0.57 | 0.23 | 69.6x | 87 | 41% |
| Supertrend period=31, mult=3.4 |
12.8% | -62.8% | 0.57 | 0.20 | 73.6x | 197 | 42% |
| ADX / DI 방향성 period=14, threshold=44 |
7.7% | -47.2% | 0.52 | 0.16 | 14.2x | 58 | 7% |
| ROC 모멘텀 n=87, threshold=0.01 |
9.9% | -60.3% | 0.48 | 0.16 | 29.1x | 265 | 45% |
| MACD fast=23, slow=57, signal=19 |
7.7% | -73.4% | 0.40 | 0.10 | 13.9x | 299 | 50% |
| Parabolic SAR step=0.025, maxStep=0.36 |
4.3% | -89.0% | 0.29 | 0.05 | 4.4x | 807 | 48% |
| Buy and hold | 7.4% | -84.4% | 0.38 | 0.09 | 12.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 12-day EMA crosses above the 110-day EMA
- Sell — Sell when the 12-day EMA falls below the 110-day EMA