Trend-Following Backtester · Guide · backtest 한국어
equity · CN
BOE Technology Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of BOE Technology Group Co., Ltd. Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -50.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.7%, drawdown -87.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -52.8%, Sharpe 0.54, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 8.1%, MDD -50.5%, exposure 45%).
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=21, slow=183 |
12.4% | -52.8% | 0.54 | 0.23 | 19.8x | 39 | 47% |
| 볼린저 밴드 돌파 n=43, k=1.6 |
10.4% | -53.7% | 0.51 | 0.19 | 12.6x | 136 | 33% |
| Donchian 채널 돌파 entryN=79, exitN=98 |
11.1% | -63.9% | 0.49 | 0.17 | 14.8x | 29 | 56% |
| EMA 크로스오버 fast=40, slow=105 |
9.0% | -52.8% | 0.44 | 0.17 | 9.1x | 53 | 47% |
| Supertrend period=28, mult=3.7 |
8.1% | -50.5% | 0.42 | 0.16 | 7.4x | 120 | 45% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=1.6 |
7.4% | -59.7% | 0.40 | 0.12 | 6.2x | 136 | 34% |
| ROC 모멘텀 n=154, threshold=0.01 |
7.2% | -61.4% | 0.38 | 0.12 | 5.9x | 193 | 49% |
| ADX / DI 방향성 period=39, threshold=9 |
6.4% | -74.8% | 0.36 | 0.09 | 4.9x | 223 | 53% |
| Parabolic SAR step=0.005, maxStep=0.14 |
6.0% | -61.3% | 0.35 | 0.10 | 4.4x | 176 | 48% |
| MACD fast=24, slow=35, signal=13 |
5.8% | -81.7% | 0.34 | 0.07 | 4.3x | 266 | 52% |
| Buy and hold | 0.7% | -87.7% | 0.23 | 0.01 | 1.2x | 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 21-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 21-day average falls below the 183-day average