Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Guotai CSI Coal Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Guotai CSI Coal Exchange Traded Fund. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 4.2%, MDD -44.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.7%, drawdown -66.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.4%, MDD -55.8%, Sharpe 0.35, 60% exposure.
Return/drawdown alternative: MACD — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 4.2%, MDD -44.0%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=82, slow=106 |
4.4% | -55.8% | 0.35 | 0.08 | 1.3x | 5 | 60% |
| SMA 크로스오버 fast=48, slow=203 |
2.2% | -56.4% | 0.31 | 0.04 | 1.2x | 5 | 53% |
| MACD fast=9, slow=35, signal=9 |
4.2% | -44.0% | 0.30 | 0.10 | 1.3x | 123 | 52% |
| ADX / DI 방향성 period=39, threshold=15 |
3.6% | -53.4% | 0.28 | 0.07 | 1.3x | 18 | 36% |
| Donchian 채널 돌파 entryN=47, exitN=66 |
1.5% | -61.2% | 0.25 | 0.03 | 1.1x | 10 | 65% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=25, mult=1.6 |
0.1% | -58.0% | 0.13 | 0.00 | 1.0x | 34 | 46% |
| Supertrend period=29, mult=4.6 |
-2.9% | -74.2% | 0.11 | -0.04 | 0.8x | 20 | 53% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
-4.1% | -53.4% | -0.06 | -0.08 | 0.8x | 40 | 41% |
| ROC 모멘텀 n=55, threshold=-0.04 |
-12.3% | -83.8% | -0.08 | -0.15 | 0.4x | 67 | 68% |
| Parabolic SAR step=0.01, maxStep=0.44 |
-13.7% | -76.2% | -0.29 | -0.18 | 0.4x | 83 | 46% |
| Buy and hold | 2.7% | -66.6% | 0.33 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 82-day EMA crosses above the 106-day EMA
- Sell — Sell when the 82-day EMA falls below the 106-day EMA