Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hunan Gold Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hunan Gold Corp. Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -47.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.6%, drawdown -89.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.8%, MDD -48.8%, Sharpe 0.48, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 4.5%, MDD -47.7%, exposure 21%).
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=123, threshold=0.04 |
10.8% | -48.8% | 0.48 | 0.22 | 7.1x | 122 | 46% |
| SMA 크로스오버 fast=24, slow=170 |
7.9% | -59.6% | 0.40 | 0.13 | 4.3x | 34 | 48% |
| ADX / DI 방향성 period=37, threshold=8 |
7.1% | -70.4% | 0.38 | 0.10 | 3.7x | 165 | 60% |
| EMA 크로스오버 fast=17, slow=30 |
6.2% | -64.1% | 0.35 | 0.10 | 3.1x | 103 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=3 |
4.5% | -47.7% | 0.30 | 0.09 | 2.3x | 49 | 21% |
| Donchian 채널 돌파 entryN=112, exitN=51 |
4.6% | -70.4% | 0.30 | 0.06 | 2.3x | 28 | 33% |
| Supertrend period=13, mult=2.9 |
3.9% | -63.4% | 0.29 | 0.06 | 2.1x | 127 | 50% |
| 볼린저 밴드 돌파 n=19, k=1.1 |
3.9% | -61.9% | 0.28 | 0.06 | 2.1x | 279 | 40% |
| Parabolic SAR step=0.01, maxStep=0.32 |
3.5% | -65.0% | 0.28 | 0.05 | 1.9x | 239 | 48% |
| MACD fast=13, slow=24, signal=7 |
1.6% | -78.4% | 0.23 | 0.02 | 1.4x | 359 | 53% |
| Buy and hold | 1.6% | -89.3% | 0.28 | 0.02 | 1.4x | 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 123-day return is greater than 4%
- Sell — Sell when the 123-day return drops to 4% or below