Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Coal Energy Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Coal Energy Co. Ltd. Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -18.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.6%, drawdown -84.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -62.1%, Sharpe 0.35, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 0.6%, MDD -18.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=137 |
5.9% | -62.1% | 0.35 | 0.09 | 2.9x | 32 | 45% |
| ROC 모멘텀 n=106, threshold=0.15 |
3.9% | -62.1% | 0.28 | 0.06 | 2.0x | 96 | 24% |
| 볼린저 밴드 돌파 n=52, k=1 |
3.0% | -55.0% | 0.25 | 0.05 | 1.7x | 110 | 37% |
| Donchian 채널 돌파 entryN=73, exitN=64 |
1.9% | -78.1% | 0.22 | 0.02 | 1.4x | 26 | 44% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=1.9 |
1.9% | -52.0% | 0.20 | 0.04 | 1.4x | 102 | 27% |
| EMA 크로스오버 fast=69, slow=219 |
0.9% | -76.9% | 0.18 | 0.01 | 1.2x | 21 | 38% |
| MACD fast=7, slow=32, signal=16 |
-0.5% | -59.3% | 0.13 | -0.01 | 0.9x | 307 | 52% |
| Supertrend period=14, mult=4.6 |
-0.7% | -73.7% | 0.13 | -0.01 | 0.9x | 56 | 49% |
| ADX / DI 방향성 period=27, threshold=41 |
0.6% | -18.3% | 0.12 | 0.03 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-1.2% | -64.9% | 0.10 | -0.02 | 0.8x | 361 | 47% |
| Buy and hold | -2.6% | -84.9% | 0.13 | -0.03 | 0.6x | 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 41-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 41-day average falls below the 137-day average