Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Cinda Asset Management Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of China Cinda Asset Management Co., Ltd. Class H. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.9%, MDD -41.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.3%, drawdown -89.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -44.9%, Sharpe 0.34, 4% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 4.9%, MDD -41.2%, 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=31, k=3.5 |
5.6% | -44.9% | 0.34 | 0.13 | 2.0x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=1.8 |
4.9% | -41.2% | 0.31 | 0.12 | 1.8x | 44 | 8% |
| Donchian 채널 돌파 entryN=60, exitN=12 |
2.5% | -44.9% | 0.22 | 0.06 | 1.4x | 30 | 12% |
| ADX / DI 방향성 period=12, threshold=35 |
0.6% | -44.9% | 0.14 | 0.01 | 1.1x | 38 | 9% |
| MACD fast=17, slow=61, signal=11 |
-1.5% | -65.9% | 0.11 | -0.02 | 0.8x | 141 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.7% | -73.7% | 0.10 | -0.02 | 0.8x | 87 | 40% |
| Supertrend period=15, mult=2.9 |
-2.2% | -73.2% | 0.06 | -0.03 | 0.8x | 74 | 34% |
| ROC 모멘텀 n=20, threshold=0.09 |
-2.0% | -57.0% | 0.04 | -0.04 | 0.8x | 150 | 12% |
| SMA 크로스오버 fast=17, slow=41 |
-6.2% | -69.2% | -0.08 | -0.09 | 0.4x | 86 | 39% |
| EMA 크로스오버 fast=66, slow=208 |
-7.1% | -72.3% | -0.18 | -0.10 | 0.4x | 12 | 25% |
| Buy and hold | -11.3% | -89.3% | -0.10 | -0.13 | 0.2x | 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 31-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 31-day middle average