Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Beijing Enterprises Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Beijing Enterprises Holdings Limited. 1 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 3.1%, MDD -24.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -74.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -24.7%, Sharpe 0.38, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -58.1%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 49.4%p (CAGR 3.1%, MDD -24.7%, exposure 8%).
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=41, k=3.5 |
3.1% | -24.7% | 0.38 | 0.13 | 1.9x | 18 | 8% |
| ADX / DI 방향성 period=38, threshold=27 |
2.4% | -22.5% | 0.33 | 0.10 | 1.6x | 4 | 2% |
| SMA 크로스오버 fast=21, slow=117 |
3.8% | -58.1% | 0.28 | 0.07 | 2.2x | 48 | 49% |
| Supertrend period=24, mult=4.5 |
1.7% | -76.4% | 0.19 | 0.02 | 1.4x | 65 | 53% |
| EMA 크로스오버 fast=44, slow=180 |
1.7% | -73.6% | 0.19 | 0.02 | 1.4x | 36 | 49% |
| Donchian 채널 돌파 entryN=55, exitN=58 |
1.1% | -79.4% | 0.17 | 0.01 | 1.2x | 43 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=34, mult=3.9 |
0.3% | -40.0% | 0.08 | 0.01 | 1.1x | 36 | 13% |
| ROC 모멘텀 n=149, threshold=0.1 |
-2.2% | -80.3% | -0.02 | -0.03 | 0.6x | 148 | 31% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.3% | -87.5% | -0.12 | -0.06 | 0.3x | 183 | 52% |
| MACD fast=15, slow=23, signal=23 |
-5.9% | -87.7% | -0.16 | -0.07 | 0.3x | 287 | 50% |
| Buy and hold | 3.7% | -74.1% | 0.28 | 0.05 | 2.1x | 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 41-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 41-day middle average