Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CITIC Limited backtest
10 trend-following strategies were compared on the full daily history of CITIC Limited. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -43.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.9%, drawdown -92.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 7.3%, MDD -65.5%, Sharpe 0.42, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 3.4%, MDD -43.0%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.28 |
7.3% | -65.5% | 0.42 | 0.11 | 6.6x | 207 | 51% |
| MACD fast=24, slow=36, signal=19 |
7.3% | -55.3% | 0.41 | 0.13 | 6.5x | 241 | 51% |
| Supertrend period=26, mult=2.6 |
5.4% | -62.3% | 0.35 | 0.09 | 4.1x | 209 | 47% |
| 볼린저 밴드 돌파 n=25, k=2 |
3.4% | -43.0% | 0.27 | 0.08 | 2.4x | 193 | 29% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=9, mult=2.1 |
2.5% | -52.8% | 0.23 | 0.05 | 1.9x | 147 | 21% |
| Donchian 채널 돌파 entryN=23, exitN=7 |
2.1% | -55.0% | 0.20 | 0.04 | 1.7x | 205 | 30% |
| ROC 모멘텀 n=120, threshold=0.12 |
1.4% | -60.5% | 0.17 | 0.02 | 1.5x | 162 | 25% |
| SMA 크로스오버 fast=11, slow=119 |
1.1% | -71.0% | 0.16 | 0.02 | 1.4x | 95 | 46% |
| EMA 크로스오버 fast=23, slow=89 |
1.0% | -73.2% | 0.15 | 0.01 | 1.3x | 81 | 46% |
| ADX / DI 방향성 period=32, threshold=16 |
0.3% | -49.9% | 0.10 | 0.01 | 1.1x | 112 | 22% |
| Buy and hold | -2.9% | -92.8% | 0.11 | -0.03 | 0.5x | 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