Trend-Following Backtester · Guide · backtest 한국어
equity · CN
BlueFocus Intelligent Communications Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of BlueFocus Intelligent Communications Group Co., Ltd. Class A. 6 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 13.6%, MDD -51.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.3%, drawdown -84.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.6%, MDD -51.0%, Sharpe 0.64, 12% exposure.
CAGR reference leader: Parabolic SAR — CAGR 14.8%, MDD -67.7%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 13.6%, MDD -51.0%, exposure 12%).
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=14, k=2.7 |
13.6% | -51.0% | 0.64 | 0.27 | 8.2x | 68 | 12% |
| Parabolic SAR step=0.01, maxStep=0.16 |
14.8% | -67.7% | 0.55 | 0.22 | 9.6x | 198 | 50% |
| MACD fast=19, slow=34, signal=12 |
13.7% | -61.7% | 0.53 | 0.22 | 8.3x | 191 | 52% |
| SMA 크로스오버 fast=58, slow=99 |
12.5% | -84.2% | 0.50 | 0.15 | 6.9x | 46 | 47% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=29, mult=1.6 |
10.4% | -53.1% | 0.49 | 0.20 | 5.0x | 124 | 21% |
| Supertrend period=8, mult=2.7 |
11.1% | -65.3% | 0.47 | 0.17 | 5.6x | 118 | 53% |
| EMA 크로스오버 fast=53, slow=76 |
8.8% | -77.4% | 0.41 | 0.11 | 4.0x | 34 | 45% |
| ROC 모멘텀 n=79, threshold=0.01 |
7.4% | -83.6% | 0.38 | 0.09 | 3.2x | 204 | 47% |
| Donchian 채널 돌파 entryN=78, exitN=80 |
6.8% | -79.0% | 0.37 | 0.09 | 3.0x | 22 | 45% |
| ADX / DI 방향성 period=14, threshold=31 |
5.8% | -62.7% | 0.34 | 0.09 | 2.5x | 78 | 16% |
| Buy and hold | 9.3% | -84.1% | 0.44 | 0.11 | 4.3x | 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 14-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 14-day middle average