Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Aluminium Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Aluminium Co. Ltd. Class A. 9 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 14.4%, MDD -55.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.1%, drawdown -88.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.4%, MDD -55.2%, Sharpe 0.58, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.6%, MDD -65.0%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 14.4%, MDD -55.2%, exposure 39%).
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=18, k=1.1 |
14.4% | -55.2% | 0.58 | 0.26 | 45.5x | 401 | 39% |
| SMA 크로스오버 fast=9, slow=102 |
15.6% | -65.0% | 0.58 | 0.24 | 60.4x | 100 | 48% |
| EMA 크로스오버 fast=4, slow=37 |
14.3% | -64.8% | 0.56 | 0.22 | 44.4x | 265 | 48% |
| ROC 모멘텀 n=42, threshold=0.12 |
12.5% | -57.9% | 0.54 | 0.22 | 27.8x | 278 | 27% |
| Donchian 채널 돌파 entryN=33, exitN=71 |
14.4% | -78.5% | 0.54 | 0.18 | 45.0x | 60 | 66% |
| Supertrend period=22, mult=1.7 |
12.6% | -60.6% | 0.53 | 0.21 | 28.9x | 383 | 46% |
| Parabolic SAR step=0.035, maxStep=0.04 |
12.0% | -61.1% | 0.50 | 0.20 | 24.8x | 307 | 47% |
| ADX / DI 방향성 period=28, threshold=7 |
11.9% | -77.5% | 0.49 | 0.15 | 23.9x | 347 | 57% |
| MACD fast=21, slow=39, signal=11 |
11.4% | -60.6% | 0.48 | 0.19 | 21.1x | 347 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.2 |
7.7% | -68.4% | 0.41 | 0.11 | 8.3x | 86 | 24% |
| Buy and hold | 10.1% | -88.0% | 0.44 | 0.11 | 15.2x | 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 18-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 18-day middle average