Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Merchants Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Merchants Securities Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -27.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.2%, drawdown -70.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.3%, MDD -27.1%, Sharpe 0.54, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.6%, MDD -29.0%, exposure 5%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 5.3%, MDD -27.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=12, mult=2.8 |
5.3% | -27.1% | 0.54 | 0.20 | 2.4x | 16 | 2% |
| ROC 모멘텀 n=11, threshold=0.13 |
5.6% | -29.0% | 0.47 | 0.19 | 2.5x | 88 | 5% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
4.9% | -35.1% | 0.44 | 0.14 | 2.2x | 46 | 6% |
| Donchian 채널 돌파 entryN=74, exitN=44 |
5.3% | -40.0% | 0.34 | 0.13 | 2.4x | 25 | 30% |
| ADX / DI 방향성 period=30, threshold=36 |
2.5% | -29.8% | 0.32 | 0.09 | 1.5x | 6 | 1% |
| Supertrend period=26, mult=2.2 |
2.8% | -53.8% | 0.24 | 0.05 | 1.6x | 152 | 40% |
| SMA 크로스오버 fast=51, slow=165 |
2.5% | -52.6% | 0.23 | 0.05 | 1.5x | 29 | 43% |
| MACD fast=14, slow=56, signal=17 |
2.4% | -49.5% | 0.22 | 0.05 | 1.5x | 180 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
1.2% | -52.2% | 0.17 | 0.02 | 1.2x | 206 | 44% |
| EMA 크로스오버 fast=52, slow=202 |
-0.7% | -58.4% | 0.10 | -0.01 | 0.9x | 27 | 39% |
| Buy and hold | -1.2% | -70.4% | 0.14 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average