Trend-Following Backtester · Guide · backtest 한국어
equity · CN
COSCO Shipping Specialized Carriers Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of COSCO Shipping Specialized Carriers Co., Ltd. Class A. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -43.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.3%, drawdown -86.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -70.6%, Sharpe 0.51, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 7.0%, MDD -43.1%, exposure 9%).
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=44, slow=180 |
12.3% | -70.6% | 0.51 | 0.17 | 17.0x | 35 | 48% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=2.7 |
7.0% | -43.1% | 0.50 | 0.16 | 5.3x | 62 | 9% |
| Donchian 채널 돌파 entryN=97, exitN=57 |
10.4% | -60.1% | 0.47 | 0.17 | 11.1x | 33 | 38% |
| ROC 모멘텀 n=147, threshold=-0.04 |
9.6% | -68.7% | 0.44 | 0.14 | 9.4x | 169 | 56% |
| ADX / DI 방향성 period=31, threshold=12 |
9.3% | -74.3% | 0.44 | 0.13 | 8.9x | 177 | 49% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
5.3% | -41.1% | 0.43 | 0.13 | 3.5x | 24 | 8% |
| EMA 크로스오버 fast=12, slow=77 |
8.5% | -68.1% | 0.42 | 0.13 | 7.4x | 109 | 47% |
| Supertrend period=7, mult=4.9 |
6.5% | -74.7% | 0.36 | 0.09 | 4.7x | 69 | 55% |
| MACD fast=10, slow=27, signal=12 |
5.0% | -72.8% | 0.31 | 0.07 | 3.3x | 412 | 52% |
| Parabolic SAR step=0.02, maxStep=0.1 |
1.6% | -85.0% | 0.21 | 0.02 | 1.5x | 440 | 48% |
| Buy and hold | 6.3% | -86.5% | 0.36 | 0.07 | 4.5x | 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 44-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 44-day average falls below the 180-day average