Trend-Following Backtester · Guide · backtest 한국어
equity · CN
GF Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of GF Securities Co., Ltd. Class A. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.5%, MDD -32.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.0%, drawdown -84.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.5%, MDD -32.3%, Sharpe 0.63, 13% exposure.
CAGR reference leader: Supertrend — CAGR 10.4%, MDD -73.3%, exposure 56%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 9.5%, MDD -32.3%, exposure 13%).
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=3.5 |
9.5% | -32.3% | 0.63 | 0.29 | 14.1x | 28 | 13% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=17, mult=3.6 |
6.5% | -44.7% | 0.52 | 0.15 | 6.3x | 34 | 12% |
| MACD fast=8, slow=59, signal=23 |
6.6% | -61.7% | 0.38 | 0.11 | 6.5x | 310 | 43% |
| Supertrend period=20, mult=4.2 |
10.4% | -73.3% | 0.31 | 0.14 | 17.9x | 95 | 56% |
| Parabolic SAR step=0.01, maxStep=0.16 |
9.9% | -70.3% | 0.30 | 0.14 | 15.5x | 296 | 54% |
| Donchian 채널 돌파 entryN=64, exitN=40 |
9.8% | -65.5% | 0.30 | 0.15 | 15.1x | 57 | 45% |
| ADX / DI 방향성 period=31, threshold=25 |
9.5% | -42.2% | 0.28 | 0.23 | 14.1x | 30 | 20% |
| EMA 크로스오버 fast=17, slow=58 |
5.8% | -79.6% | 0.24 | 0.07 | 5.1x | 117 | 52% |
| ROC 모멘텀 n=51, threshold=-0.02 |
5.4% | -78.0% | 0.24 | 0.07 | 4.6x | 383 | 60% |
| SMA 크로스오버 fast=44, slow=101 |
2.0% | -77.3% | 0.21 | 0.03 | 1.8x | 71 | 43% |
| Buy and hold | 7.0% | -84.3% | 0.29 | 0.08 | 7.1x | 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 (3.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average