Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CRRC Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of CRRC Corporation Limited Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.1%, MDD -37.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.3%, drawdown -87.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.1%, MDD -37.8%, Sharpe 0.70, 21% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 13.1%, MDD -37.8%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=2.7 |
13.1% | -37.8% | 0.70 | 0.35 | 9.1x | 32 | 21% |
| ADX / DI 방향성 period=22, threshold=32 |
10.0% | -38.1% | 0.63 | 0.26 | 5.5x | 24 | 13% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=2.6 |
10.5% | -56.0% | 0.59 | 0.19 | 6.0x | 45 | 24% |
| Donchian 채널 돌파 entryN=49, exitN=29 |
10.3% | -38.8% | 0.56 | 0.27 | 5.9x | 41 | 32% |
| Supertrend period=29, mult=3 |
10.1% | -56.3% | 0.54 | 0.18 | 5.7x | 99 | 40% |
| SMA 크로스오버 fast=8, slow=102 |
9.0% | -59.6% | 0.48 | 0.15 | 4.7x | 61 | 41% |
| EMA 크로스오버 fast=39, slow=44 |
7.9% | -70.8% | 0.43 | 0.11 | 3.9x | 48 | 43% |
| ROC 모멘텀 n=67, threshold=0.04 |
6.5% | -68.4% | 0.38 | 0.09 | 3.1x | 167 | 35% |
| Parabolic SAR step=0.005, maxStep=0.12 |
5.2% | -72.6% | 0.33 | 0.07 | 2.5x | 133 | 48% |
| MACD fast=14, slow=47, signal=10 |
-1.0% | -83.2% | 0.08 | -0.01 | 0.8x | 263 | 50% |
| Buy and hold | 3.3% | -87.0% | 0.27 | 0.04 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 56-day middle average