Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Tourism Group Duty Free Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China Tourism Group Duty Free Corporation Limited Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.3%, MDD -49.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.3%, drawdown -86.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -55.4%, Sharpe 0.59, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 11.3%, MDD -49.3%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=129 |
14.2% | -55.4% | 0.59 | 0.26 | 9.4x | 32 | 52% |
| EMA 크로스오버 fast=57, slow=180 |
13.8% | -53.3% | 0.57 | 0.26 | 8.9x | 20 | 58% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=18, mult=3 |
11.3% | -49.3% | 0.56 | 0.23 | 6.1x | 40 | 30% |
| Supertrend period=11, mult=5 |
12.1% | -57.7% | 0.54 | 0.21 | 6.9x | 40 | 54% |
| ROC 모멘텀 n=187, threshold=-0.09 |
12.5% | -60.6% | 0.52 | 0.21 | 7.3x | 84 | 68% |
| ADX / DI 방향성 period=39, threshold=18 |
8.0% | -46.9% | 0.46 | 0.17 | 3.7x | 44 | 25% |
| Donchian 채널 돌파 entryN=38, exitN=59 |
8.1% | -70.2% | 0.41 | 0.12 | 3.7x | 40 | 63% |
| 볼린저 밴드 돌파 n=22, k=2.9 |
4.9% | -37.3% | 0.37 | 0.13 | 2.2x | 36 | 9% |
| MACD fast=18, slow=62, signal=18 |
4.6% | -76.1% | 0.30 | 0.06 | 2.1x | 153 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-3.7% | -72.4% | 0.02 | -0.05 | 0.5x | 286 | 52% |
| Buy and hold | 11.3% | -86.9% | 0.47 | 0.13 | 6.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 46-day average falls below the 129-day average