Trend-Following Backtester · Guide · backtest 한국어

equity · CN

China Shipbuilding Industry Group Power Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of China Shipbuilding Industry Group Power Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.7%, MDD -67.1%).

Data 2004-07-14 ~ 2026-07-31daily bars 5,382 (22.0 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 11.5%, drawdown -86.6%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.5%, MDD -39.7%, Sharpe 0.54, 10% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 11.6%, MDD -73.1%, exposure 52%.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 46.8%p (CAGR 9.7%, MDD -67.1%, exposure 37%).

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
Keltner 채널 돌파
emaPeriod=31, atrPeriod=11, mult=3.8
8.5%-39.7%0.540.216.0x2610%
SMA 크로스오버
fast=22, slow=222
11.6%-73.1%0.490.1611.3x4952%
ROC 모멘텀
n=140, threshold=0.11
9.7%-67.1%0.460.147.6x16937%
Donchian 채널 돌파
entryN=101, exitN=9
8.1%-55.3%0.450.155.6x6417%
EMA 크로스오버
fast=49, slow=138
9.6%-75.6%0.440.137.5x4352%
ADX / DI 방향성
period=13, threshold=23
8.3%-73.2%0.430.115.8x19033%
Supertrend
period=11, mult=3.4
7.3%-84.3%0.380.094.7x11852%
볼린저 밴드 돌파
n=70, k=1.4
7.1%-71.9%0.380.104.5x9634%
MACD
fast=24, slow=48, signal=19
6.3%-75.5%0.360.083.9x20452%
Parabolic SAR
step=0.01, maxStep=0.26
3.2%-75.8%0.260.042.0x28048%
Buy and hold11.5%-86.6%0.470.1311.1x1100%
1x 10x 2005 2008 2011 2014 2017 2020 2023 2026 SMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -22% -43% -65% -87% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdSMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -39.7% (2007-10-15 → 2009-03-02), recovered after 526 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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