Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Gold International Resources Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Gold International Resources Corp. Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.8%, MDD -48.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.0%, drawdown -92.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.9%, MDD -57.1%, Sharpe 0.68, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 16.8%, MDD -48.5%, exposure 25%).
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=10, slow=55 |
20.9% | -57.1% | 0.68 | 0.37 | 19.9x | 87 | 49% |
| Supertrend period=22, mult=5 |
20.4% | -70.5% | 0.67 | 0.29 | 18.7x | 51 | 46% |
| Donchian 채널 돌파 entryN=109, exitN=30 |
16.8% | -48.5% | 0.67 | 0.35 | 11.6x | 21 | 25% |
| ADX / DI 방향성 period=32, threshold=18 |
15.2% | -59.4% | 0.61 | 0.26 | 9.3x | 53 | 26% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=17, mult=2.2 |
15.6% | -55.0% | 0.59 | 0.28 | 9.8x | 61 | 36% |
| ROC 모멘텀 n=41, threshold=-0.04 |
16.4% | -68.7% | 0.58 | 0.24 | 10.9x | 197 | 56% |
| EMA 크로스오버 fast=24, slow=28 |
14.7% | -70.3% | 0.55 | 0.21 | 8.7x | 77 | 48% |
| MACD fast=11, slow=25, signal=10 |
14.5% | -71.7% | 0.55 | 0.20 | 8.4x | 261 | 50% |
| 볼린저 밴드 돌파 n=36, k=1 |
13.0% | -67.2% | 0.52 | 0.19 | 6.9x | 139 | 38% |
| Parabolic SAR step=0.025, maxStep=0.18 |
12.7% | -68.2% | 0.51 | 0.19 | 6.6x | 355 | 48% |
| Buy and hold | 12.0% | -92.9% | 0.48 | 0.13 | 5.9x | 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 10-day average price crosses above the 55-day average
- Sell — Sell (to cash) when the 10-day average falls below the 55-day average