Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chongqing Rural Commercial Bank Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chongqing Rural Commercial Bank Co. Ltd. Class A. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.6%, MDD -20.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.8%, drawdown -63.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.4%, MDD -21.9%, Sharpe 0.52, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 3.6%, MDD -20.7%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=194 |
7.4% | -21.9% | 0.52 | 0.34 | 1.6x | 4 | 44% |
| SMA 크로스오버 fast=45, slow=203 |
6.5% | -30.1% | 0.47 | 0.22 | 1.5x | 8 | 46% |
| ROC 모멘텀 n=128, threshold=-0.03 |
6.2% | -22.1% | 0.43 | 0.28 | 1.5x | 27 | 54% |
| Donchian 채널 돌파 entryN=138, exitN=67 |
3.6% | -20.7% | 0.32 | 0.17 | 1.3x | 6 | 29% |
| ADX / DI 방향성 period=29, threshold=15 |
2.4% | -32.6% | 0.24 | 0.07 | 1.2x | 40 | 37% |
| Supertrend period=25, mult=5 |
1.0% | -31.6% | 0.15 | 0.03 | 1.1x | 18 | 44% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=3.7 |
-0.2% | -22.5% | 0.03 | -0.01 | 1.0x | 10 | 14% |
| 볼린저 밴드 돌파 n=67, k=2.4 |
-0.6% | -22.9% | 0.02 | -0.02 | 1.0x | 18 | 30% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.8% | -36.6% | -0.23 | -0.13 | 0.7x | 102 | 50% |
| MACD fast=19, slow=48, signal=17 |
-5.8% | -52.8% | -0.28 | -0.11 | 0.7x | 71 | 52% |
| Buy and hold | -4.8% | -63.1% | -0.11 | -0.08 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 194-day EMA
- Sell — Sell when the 37-day EMA falls below the 194-day EMA