Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Shanghai Commercial & Savings Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Shanghai Commercial & Savings Bank, Ltd.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -7.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.8%, drawdown -38.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -11.6%, Sharpe 0.56, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.9%, MDD -19.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 1.9%, MDD -7.0%, exposure 5%).
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=63, k=3.4 |
3.6% | -11.6% | 0.56 | 0.31 | 1.5x | 7 | 13% |
| SMA 크로스오버 fast=36, slow=142 |
5.9% | -19.6% | 0.50 | 0.30 | 2.0x | 23 | 49% |
| ADX / DI 방향성 period=28, threshold=35 |
1.9% | -7.0% | 0.49 | 0.27 | 1.3x | 6 | 5% |
| EMA 크로스오버 fast=40, slow=122 |
5.3% | -22.4% | 0.46 | 0.24 | 1.8x | 15 | 52% |
| Donchian 채널 돌파 entryN=99, exitN=77 |
5.0% | -25.5% | 0.44 | 0.20 | 1.8x | 11 | 44% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=4 |
1.3% | -17.0% | 0.24 | 0.07 | 1.2x | 14 | 11% |
| Supertrend period=24, mult=4.8 |
1.7% | -43.2% | 0.19 | 0.04 | 1.2x | 33 | 64% |
| ROC 모멘텀 n=115, threshold=-0.04 |
1.3% | -45.6% | 0.16 | 0.03 | 1.2x | 55 | 63% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.4% | -62.6% | -0.20 | -0.05 | 0.7x | 85 | 49% |
| MACD fast=14, slow=23, signal=11 |
-6.8% | -64.2% | -0.49 | -0.11 | 0.4x | 198 | 50% |
| Buy and hold | 1.8% | -38.6% | 0.19 | 0.05 | 1.2x | 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 63-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 63-day middle average