Trend-Following Backtester · Guide · backtest 한국어
equity · CN
East Money Information Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of East Money Information 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 24.2%, MDD -44.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 22.3%, drawdown -82.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.2%, MDD -44.4%, Sharpe 0.91, 17% exposure.
CAGR reference leader: Parabolic SAR — CAGR 26.7%, MDD -48.0%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 24.2%, MDD -44.4%, exposure 17%).
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=42, k=3.1 |
24.2% | -44.4% | 0.91 | 0.55 | 34.8x | 28 | 17% |
| Donchian 채널 돌파 entryN=97, exitN=22 |
24.2% | -55.2% | 0.87 | 0.44 | 34.7x | 26 | 21% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=2.9 |
24.3% | -58.2% | 0.84 | 0.42 | 35.0x | 38 | 24% |
| Parabolic SAR step=0.01, maxStep=0.06 |
26.7% | -48.0% | 0.83 | 0.56 | 48.2x | 166 | 48% |
| SMA 크로스오버 fast=11, slow=36 |
25.4% | -59.1% | 0.79 | 0.43 | 40.5x | 120 | 49% |
| MACD fast=13, slow=37, signal=17 |
23.9% | -62.3% | 0.77 | 0.38 | 33.2x | 174 | 49% |
| EMA 크로스오버 fast=93, slow=166 |
24.9% | -70.7% | 0.77 | 0.35 | 37.9x | 8 | 50% |
| ADX / DI 방향성 period=24, threshold=27 |
17.0% | -60.4% | 0.74 | 0.28 | 13.1x | 26 | 15% |
| Supertrend period=8, mult=3.3 |
23.1% | -66.9% | 0.72 | 0.35 | 30.1x | 81 | 58% |
| ROC 모멘텀 n=183, threshold=0.1 |
22.6% | -70.7% | 0.72 | 0.32 | 28.1x | 90 | 43% |
| Buy and hold | 22.3% | -82.4% | 0.66 | 0.27 | 26.8x | 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 42-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 42-day middle average