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 15.1%, MDD -39.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.6%, drawdown -65.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.7%, MDD -52.1%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 15.1%, 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 |
17.7% | -52.1% | 0.64 | 0.34 | 9.6x | 157 | 47% |
| 볼린저 밴드 돌파 n=54, k=1 |
15.1% | -39.0% | 0.60 | 0.39 | 7.1x | 70 | 40% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=1 |
12.6% | -42.6% | 0.53 | 0.30 | 5.2x | 88 | 41% |
| Supertrend period=22, mult=3.6 |
12.0% | -57.2% | 0.51 | 0.21 | 4.8x | 67 | 48% |
| ADX / DI 방향성 period=11, threshold=22 |
11.5% | -46.1% | 0.50 | 0.25 | 4.5x | 166 | 42% |
| SMA 크로스오버 fast=57, slow=202 |
11.8% | -59.7% | 0.49 | 0.20 | 4.7x | 18 | 54% |
| Donchian 채널 돌파 entryN=70, exitN=77 |
10.4% | -63.2% | 0.46 | 0.16 | 3.9x | 21 | 50% |
| EMA 크로스오버 fast=51, slow=216 |
8.1% | -58.5% | 0.40 | 0.14 | 2.9x | 23 | 55% |
| MACD fast=12, slow=33, signal=16 |
6.3% | -61.3% | 0.35 | 0.10 | 2.3x | 178 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-3.0% | -72.3% | 0.08 | -0.04 | 0.7x | 220 | 50% |
| Buy and hold | 13.6% | -65.4% | 0.51 | 0.21 | 5.9x | 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 41-day return is greater than 1%
- Sell — Sell when the 41-day return drops to 1% or below