Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China International Capital Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China International Capital Corp. Ltd. Class A. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR -1.2%, drawdown -64.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.8%, MDD -19.6%, Sharpe 0.31, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=3, threshold=0.13 |
2.8% | -19.6% | 0.31 | 0.14 | 1.2x | 12 | 1% |
| ADX / DI 방향성 period=34, threshold=35 |
0.1% | -0.5% | 0.16 | 0.13 | 1.0x | 2 | 0% |
| MACD fast=21, slow=49, signal=12 |
-3.1% | -31.8% | 0.00 | -0.10 | 0.8x | 58 | 46% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-1.0% | -19.2% | -0.02 | -0.05 | 0.9x | 4 | 5% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.0% | -58.8% | -0.05 | -0.08 | 0.7x | 86 | 48% |
| Supertrend period=14, mult=2.8 |
-6.8% | -54.2% | -0.14 | -0.13 | 0.7x | 41 | 48% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=2.5 |
-2.6% | -22.7% | -0.15 | -0.12 | 0.9x | 14 | 4% |
| Donchian 채널 돌파 entryN=17, exitN=55 |
-9.2% | -61.7% | -0.17 | -0.15 | 0.6x | 21 | 71% |
| EMA 크로스오버 fast=6, slow=30 |
-7.8% | -52.9% | -0.19 | -0.15 | 0.6x | 58 | 43% |
| SMA 크로스오버 fast=58, slow=108 |
-7.5% | -42.1% | -0.33 | -0.18 | 0.6x | 15 | 33% |
| Buy and hold | -1.2% | -64.5% | 0.15 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than 13%
- Sell — Sell when the 3-day return drops to 13% or below