Trend-Following Backtester · Guide · backtest 한국어
equity · CN
COSCO Shipping Specialized Carriers Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of COSCO Shipping Specialized Carriers Co., Ltd. Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.8%, MDD -48.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.6%, drawdown -86.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -71.8%, Sharpe 0.49, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 7.8%, MDD -48.0%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=72, exitN=105 |
11.5% | -71.8% | 0.49 | 0.16 | 14.1x | 27 | 61% |
| SMA 크로스오버 fast=46, slow=175 |
10.9% | -72.8% | 0.48 | 0.15 | 12.2x | 35 | 48% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
7.8% | -48.0% | 0.46 | 0.16 | 6.2x | 45 | 14% |
| ADX / DI 방향성 period=31, threshold=12 |
9.7% | -74.3% | 0.45 | 0.13 | 9.4x | 177 | 49% |
| ROC 모멘텀 n=144, threshold=0 |
9.5% | -70.8% | 0.44 | 0.13 | 9.2x | 165 | 50% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=3.2 |
6.2% | -39.6% | 0.42 | 0.16 | 4.3x | 53 | 10% |
| EMA 크로스오버 fast=18, slow=73 |
8.0% | -73.6% | 0.40 | 0.11 | 6.4x | 91 | 47% |
| Supertrend period=24, mult=2.8 |
6.7% | -77.8% | 0.36 | 0.09 | 4.8x | 181 | 45% |
| MACD fast=11, slow=28, signal=40 |
4.5% | -71.8% | 0.30 | 0.06 | 2.9x | 267 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.9% | -82.3% | 0.22 | 0.02 | 1.6x | 391 | 48% |
| Buy and hold | 6.6% | -86.5% | 0.37 | 0.08 | 4.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 72 days
- Sell — Sell when price breaks below the lowest low of the last 105 days