Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CNPC Capital Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of CNPC Capital Co Ltd Class A. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.4%, MDD -55.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.1%, drawdown -90.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -57.4%, Sharpe 0.47, 24% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 10.0%, MDD -70.1%, exposure 37%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 8.4%, MDD -55.4%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=116, exitN=29 |
9.4% | -57.4% | 0.47 | 0.16 | 14.5x | 42 | 24% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
10.0% | -70.1% | 0.46 | 0.14 | 16.9x | 180 | 37% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=3.7 |
8.4% | -55.4% | 0.45 | 0.15 | 11.0x | 54 | 19% |
| EMA 크로스오버 fast=26, slow=51 |
8.5% | -72.1% | 0.41 | 0.12 | 11.4x | 104 | 45% |
| Supertrend period=14, mult=4.9 |
7.1% | -75.3% | 0.37 | 0.09 | 7.8x | 84 | 52% |
| SMA 크로스오버 fast=42, slow=210 |
7.0% | -73.0% | 0.37 | 0.10 | 7.6x | 46 | 47% |
| ADX / DI 방향성 period=34, threshold=15 |
6.0% | -73.5% | 0.35 | 0.08 | 5.7x | 130 | 31% |
| ROC 모멘텀 n=50, threshold=0.12 |
5.6% | -66.8% | 0.34 | 0.08 | 5.1x | 284 | 26% |
| MACD fast=12, slow=41, signal=14 |
5.3% | -71.8% | 0.32 | 0.07 | 4.6x | 389 | 50% |
| Parabolic SAR step=0.01, maxStep=0.22 |
5.0% | -79.0% | 0.31 | 0.06 | 4.3x | 363 | 49% |
| Buy and hold | 4.1% | -90.9% | 0.32 | 0.04 | 3.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 116 days
- Sell — Sell when price breaks below the lowest low of the last 29 days