Trend-Following Backtester · Guide · backtest 한국어
equity · CN
COSCO SHIPPING Energy Transportation Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of COSCO SHIPPING Energy Transportation Co., Ltd. Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -58.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.7%, drawdown -92.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -58.4%, Sharpe 0.55, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 13.4%, MDD -58.4%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=169 |
13.4% | -58.4% | 0.55 | 0.23 | 21.1x | 35 | 48% |
| Donchian 채널 돌파 entryN=65, exitN=50 |
11.7% | -66.8% | 0.51 | 0.18 | 14.5x | 36 | 44% |
| ROC 모멘텀 n=93, threshold=0.1 |
8.3% | -68.4% | 0.41 | 0.12 | 6.9x | 180 | 34% |
| Supertrend period=13, mult=4.4 |
8.5% | -76.8% | 0.41 | 0.11 | 7.2x | 76 | 56% |
| EMA 크로스오버 fast=68, slow=170 |
6.8% | -66.4% | 0.37 | 0.10 | 5.0x | 37 | 44% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=2.3 |
6.3% | -64.0% | 0.36 | 0.10 | 4.3x | 90 | 28% |
| 볼린저 밴드 돌파 n=37, k=2.5 |
5.0% | -68.3% | 0.33 | 0.07 | 3.3x | 86 | 22% |
| MACD fast=10, slow=54, signal=24 |
2.3% | -75.2% | 0.24 | 0.03 | 1.7x | 273 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.9% | -92.3% | 0.22 | 0.02 | 1.6x | 196 | 46% |
| ADX / DI 방향성 period=15, threshold=28 |
2.3% | -69.5% | 0.22 | 0.03 | 1.7x | 132 | 21% |
| Buy and hold | 5.7% | -92.4% | 0.35 | 0.06 | 3.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 56-day average falls below the 169-day average