Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Shenhua Energy Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Shenhua Energy 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 0.4%, MDD -6.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.2%, drawdown -86.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -40.3%, Sharpe 0.29, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 0.4%, MDD -6.2%, exposure 1%).
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=71, exitN=74 |
4.0% | -40.3% | 0.29 | 0.10 | 2.1x | 22 | 44% |
| SMA 크로스오버 fast=38, slow=126 |
2.7% | -53.5% | 0.24 | 0.05 | 1.7x | 42 | 50% |
| ROC 모멘텀 n=135, threshold=0.04 |
2.1% | -50.2% | 0.21 | 0.04 | 1.5x | 129 | 42% |
| EMA 크로스오버 fast=59, slow=152 |
0.3% | -59.2% | 0.14 | 0.01 | 1.1x | 31 | 47% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.4% | -6.2% | 0.13 | 0.06 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=50, threshold=19 |
0.7% | -36.8% | 0.12 | 0.02 | 1.1x | 18 | 15% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=14, mult=4 |
0.3% | -22.6% | 0.08 | 0.01 | 1.0x | 16 | 6% |
| Supertrend period=19, mult=3.3 |
-2.8% | -59.8% | 0.00 | -0.05 | 0.6x | 105 | 46% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.3% | -74.7% | -0.11 | -0.07 | 0.4x | 141 | 48% |
| MACD fast=15, slow=35, signal=16 |
-6.1% | -77.5% | -0.14 | -0.08 | 0.3x | 217 | 51% |
| Buy and hold | -2.2% | -86.1% | 0.11 | -0.03 | 0.7x | 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 71 days
- Sell — Sell when price breaks below the lowest low of the last 74 days