Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CMOC Group Limited Class A backtest
10 trend-following strategies were compared on the full daily history of CMOC Group Limited Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.8%, MDD -39.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.9%, drawdown -65.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.8%, MDD -52.1%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 15.8%, MDD -39.0%, exposure 40%).
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=41, threshold=0.01 |
17.8% | -52.1% | 0.64 | 0.34 | 9.5x | 154 | 47% |
| 볼린저 밴드 돌파 n=54, k=1 |
15.8% | -39.0% | 0.61 | 0.40 | 7.5x | 69 | 40% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=1 |
13.0% | -42.6% | 0.53 | 0.30 | 5.4x | 87 | 41% |
| ADX / DI 방향성 period=11, threshold=22 |
12.4% | -46.1% | 0.53 | 0.27 | 5.0x | 164 | 42% |
| Supertrend period=22, mult=3.6 |
12.3% | -57.2% | 0.51 | 0.21 | 5.0x | 67 | 48% |
| SMA 크로스오버 fast=57, slow=202 |
11.9% | -59.7% | 0.49 | 0.20 | 4.7x | 18 | 55% |
| Donchian 채널 돌파 entryN=70, exitN=77 |
10.6% | -63.2% | 0.47 | 0.17 | 4.0x | 21 | 50% |
| EMA 크로스오버 fast=51, slow=216 |
8.3% | -58.5% | 0.41 | 0.14 | 3.0x | 23 | 55% |
| MACD fast=12, slow=33, signal=16 |
6.8% | -61.3% | 0.37 | 0.11 | 2.5x | 177 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.6% | -72.3% | 0.09 | -0.04 | 0.7x | 219 | 50% |
| Buy and hold | 13.9% | -65.4% | 0.52 | 0.21 | 6.1x | 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 41-day return is greater than 1%
- Sell — Sell when the 41-day return drops to 1% or below