Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yankuang Energy Group Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Yankuang Energy Group Company Limited Class A. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 8.3%, drawdown -84.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.3%, MDD -72.6%, Sharpe 0.45, 34% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.4%, MDD -71.9%, exposure 50%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=111, threshold=0.14 |
9.3% | -72.6% | 0.45 | 0.13 | 12.1x | 208 | 34% |
| SMA 크로스오버 fast=24, slow=144 |
9.4% | -71.9% | 0.44 | 0.13 | 12.5x | 61 | 50% |
| EMA 크로스오버 fast=36, slow=89 |
9.0% | -73.1% | 0.43 | 0.12 | 11.3x | 63 | 49% |
| Donchian 채널 돌파 entryN=21, exitN=95 |
8.2% | -71.6% | 0.40 | 0.11 | 9.2x | 59 | 78% |
| ADX / DI 방향성 period=35, threshold=13 |
5.1% | -76.1% | 0.32 | 0.07 | 4.1x | 193 | 44% |
| 볼린저 밴드 돌파 n=34, k=0.8 |
4.4% | -66.4% | 0.29 | 0.07 | 3.3x | 285 | 42% |
| Supertrend period=12, mult=4.2 |
3.2% | -76.3% | 0.27 | 0.04 | 2.4x | 117 | 52% |
| MACD fast=11, slow=52, signal=15 |
2.1% | -83.9% | 0.23 | 0.03 | 1.8x | 387 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=1.9 |
1.7% | -56.9% | 0.21 | 0.03 | 1.6x | 156 | 33% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.1% | -78.3% | 0.16 | 0.00 | 1.0x | 219 | 48% |
| Buy and hold | 8.3% | -84.3% | 0.41 | 0.10 | 9.5x | 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 111-day return is greater than 14%
- Sell — Sell when the 111-day return drops to 14% or below