Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Petroleum & Chemical Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of China Petroleum & Chemical Corporation Class A. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -55.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.8%, drawdown -82.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -55.3%, Sharpe 0.37, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 6.0%, MDD -55.3%, exposure 50%).
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=54, slow=151 |
6.0% | -55.3% | 0.37 | 0.11 | 4.3x | 40 | 50% |
| EMA 크로스오버 fast=52, slow=139 |
3.5% | -66.7% | 0.27 | 0.05 | 2.4x | 36 | 49% |
| Donchian 채널 돌파 entryN=109, exitN=37 |
3.3% | -57.3% | 0.26 | 0.06 | 2.2x | 40 | 31% |
| ROC 모멘텀 n=139, threshold=-0.02 |
3.2% | -67.5% | 0.25 | 0.05 | 2.2x | 180 | 53% |
| ADX / DI 방향성 period=39, threshold=17 |
2.3% | -59.8% | 0.22 | 0.04 | 1.8x | 64 | 22% |
| MACD fast=19, slow=45, signal=19 |
2.3% | -73.8% | 0.22 | 0.03 | 1.8x | 249 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.2% | -78.2% | 0.21 | 0.03 | 1.7x | 177 | 46% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=13, mult=2 |
1.7% | -71.3% | 0.19 | 0.02 | 1.5x | 133 | 21% |
| 볼린저 밴드 돌파 n=25, k=2 |
0.0% | -81.4% | 0.10 | 0.00 | 1.0x | 195 | 29% |
| Supertrend period=18, mult=2.1 |
-0.9% | -81.6% | 0.08 | -0.01 | 0.8x | 255 | 46% |
| Buy and hold | 1.8% | -82.3% | 0.22 | 0.02 | 1.6x | 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 54-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 54-day average falls below the 151-day average