Trend-Following Backtester · Guide · backtest 한국어

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Yankuang Energy Group Company Limited Class A backtest

10 trend-following strategies were compared on the full daily history of Yankuang Energy Group Company Limited Class A. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 1998-07-01 ~ 2026-07-31daily bars 6,957 (28.1 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 7.8%, drawdown -84.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.4%, MDD -72.6%, Sharpe 0.45, 34% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=111, threshold=0.14
9.4%-72.6%0.450.1312.5x20334%
SMA 크로스오버
fast=24, slow=144
8.8%-71.9%0.420.1210.7x6150%
EMA 크로스오버
fast=36, slow=89
8.4%-73.1%0.410.129.7x6349%
Donchian 채널 돌파
entryN=21, exitN=95
7.6%-71.6%0.390.117.9x5978%
ADX / DI 방향성
period=35, threshold=13
4.6%-76.1%0.300.063.5x19344%
볼린저 밴드 돌파
n=34, k=0.8
4.0%-66.4%0.280.063.0x28442%
Supertrend
period=12, mult=4.2
3.0%-76.3%0.260.042.3x11653%
MACD
fast=11, slow=52, signal=15
1.9%-83.9%0.220.021.7x38551%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=21, mult=1.9
1.7%-56.9%0.210.031.6x15633%
Parabolic SAR
step=0.005, maxStep=0.36
-0.5%-78.3%0.15-0.010.9x21948%
Buy and hold7.8%-84.3%0.390.098.1x1100%
1x 10x 1999 2003 2007 2011 2015 2019 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 1999 2003 2007 2011 2015 2019 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -72.6% (2015-06-17 → 2020-11-19), recovered after 2,548 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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