Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CGN Mining Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of CGN Mining Co. Ltd.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.1%, MDD -42.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.8%, drawdown -89.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.1%, MDD -71.1%, Sharpe 0.59, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 16.1%, MDD -42.9%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=41 |
22.1% | -71.1% | 0.59 | 0.31 | 133.3x | 162 | 43% |
| ADX / DI 방향성 period=13, threshold=36 |
16.1% | -42.9% | 0.51 | 0.38 | 38.6x | 88 | 14% |
| EMA 크로스오버 fast=22, slow=27 |
14.8% | -83.6% | 0.48 | 0.18 | 29.3x | 126 | 43% |
| Parabolic SAR step=0.02, maxStep=0.02 |
13.1% | -69.7% | 0.46 | 0.19 | 20.4x | 132 | 42% |
| Donchian 채널 돌파 entryN=56, exitN=19 |
12.6% | -68.6% | 0.44 | 0.18 | 18.4x | 70 | 28% |
| MACD fast=17, slow=50, signal=13 |
11.4% | -87.3% | 0.43 | 0.13 | 13.9x | 285 | 49% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
11.6% | -69.2% | 0.43 | 0.17 | 14.7x | 124 | 34% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=27, mult=2.9 |
11.9% | -60.0% | 0.42 | 0.20 | 15.6x | 80 | 23% |
| Supertrend period=31, mult=3.6 |
8.3% | -76.1% | 0.37 | 0.11 | 7.0x | 120 | 44% |
| ROC 모멘텀 n=142, threshold=0.12 |
6.8% | -82.9% | 0.35 | 0.08 | 5.0x | 176 | 38% |
| Buy and hold | 7.8% | -89.7% | 0.43 | 0.09 | 6.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 41-day average
- Sell — Sell (to cash) when the 11-day average falls below the 41-day average