Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Henan Shenhuo Coal Industary and Electricity Power Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Henan Shenhuo Coal Industary and Electricity Power Corporation Limited Class A. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.2%, MDD -53.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.4%, drawdown -83.8%).
Sharpe leader (same as main): Supertrend — CAGR 16.4%, MDD -63.6%, Sharpe 0.60, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 11.2%, MDD -53.8%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=4, mult=3.3 |
16.4% | -63.6% | 0.60 | 0.26 | 59.8x | 137 | 56% |
| Donchian 채널 돌파 entryN=11, exitN=62 |
14.6% | -77.3% | 0.54 | 0.19 | 39.1x | 87 | 81% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
11.2% | -53.8% | 0.51 | 0.21 | 17.4x | 88 | 29% |
| Parabolic SAR step=0.005, maxStep=0.22 |
11.1% | -66.7% | 0.49 | 0.17 | 16.9x | 209 | 46% |
| SMA 크로스오버 fast=40, slow=133 |
10.8% | -65.7% | 0.47 | 0.16 | 15.7x | 56 | 52% |
| EMA 크로스오버 fast=45, slow=101 |
10.0% | -60.3% | 0.45 | 0.17 | 12.9x | 56 | 52% |
| MACD fast=6, slow=48, signal=18 |
8.5% | -75.6% | 0.41 | 0.11 | 9.1x | 431 | 52% |
| ROC 모멘텀 n=123, threshold=0.07 |
8.4% | -71.8% | 0.41 | 0.12 | 8.7x | 190 | 44% |
| ADX / DI 방향성 period=33, threshold=7 |
7.1% | -68.7% | 0.37 | 0.10 | 6.3x | 317 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=4 |
5.7% | -64.9% | 0.35 | 0.09 | 4.5x | 62 | 21% |
| Buy and hold | 10.4% | -83.8% | 0.45 | 0.12 | 14.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 4-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)