Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Changjiang Securities Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Changjiang Securities Co., Ltd Class A. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.4%, MDD -59.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.6%, drawdown -82.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 10.8%, MDD -60.2%, Sharpe 0.30, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 10.4%, MDD -59.2%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.12 |
10.8% | -60.2% | 0.30 | 0.18 | 19.4x | 332 | 49% |
| Supertrend period=14, mult=2.2 |
10.4% | -59.2% | 0.29 | 0.18 | 17.6x | 252 | 46% |
| SMA 크로스오버 fast=50, slow=112 |
3.8% | -75.5% | 0.27 | 0.05 | 2.9x | 65 | 46% |
| 볼린저 밴드 돌파 n=16, k=2.4 |
9.8% | -66.8% | 0.27 | 0.15 | 14.9x | 192 | 21% |
| MACD fast=12, slow=16, signal=19 |
3.5% | -69.1% | 0.27 | 0.05 | 2.7x | 418 | 50% |
| Donchian 채널 돌파 entryN=73, exitN=30 |
7.5% | -74.6% | 0.25 | 0.10 | 8.0x | 61 | 32% |
| EMA 크로스오버 fast=11, slow=37 |
6.2% | -77.3% | 0.24 | 0.08 | 5.7x | 172 | 47% |
| ROC 모멘텀 n=83, threshold=-0.02 |
5.3% | -84.4% | 0.23 | 0.06 | 4.5x | 317 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=14, mult=1.7 |
6.6% | -70.2% | 0.23 | 0.09 | 6.4x | 182 | 21% |
| ADX / DI 방향성 period=39, threshold=25 |
6.3% | -60.2% | 0.21 | 0.11 | 5.9x | 28 | 13% |
| Buy and hold | 3.6% | -82.9% | 0.25 | 0.04 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots