Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Shipbuilding Industry Group Power Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Shipbuilding Industry Group Power Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.7%, MDD -67.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -86.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.5%, MDD -39.7%, Sharpe 0.54, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.6%, MDD -73.1%, exposure 52%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 46.8%p (CAGR 9.7%, MDD -67.1%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=11, mult=3.8 |
8.5% | -39.7% | 0.54 | 0.21 | 6.0x | 26 | 10% |
| SMA 크로스오버 fast=22, slow=222 |
11.6% | -73.1% | 0.49 | 0.16 | 11.3x | 49 | 52% |
| ROC 모멘텀 n=140, threshold=0.11 |
9.7% | -67.1% | 0.46 | 0.14 | 7.6x | 169 | 37% |
| Donchian 채널 돌파 entryN=101, exitN=9 |
8.1% | -55.3% | 0.45 | 0.15 | 5.6x | 64 | 17% |
| EMA 크로스오버 fast=49, slow=138 |
9.6% | -75.6% | 0.44 | 0.13 | 7.5x | 43 | 52% |
| ADX / DI 방향성 period=13, threshold=23 |
8.3% | -73.2% | 0.43 | 0.11 | 5.8x | 190 | 33% |
| Supertrend period=11, mult=3.4 |
7.3% | -84.3% | 0.38 | 0.09 | 4.7x | 118 | 52% |
| 볼린저 밴드 돌파 n=70, k=1.4 |
7.1% | -71.9% | 0.38 | 0.10 | 4.5x | 96 | 34% |
| MACD fast=24, slow=48, signal=19 |
6.3% | -75.5% | 0.36 | 0.08 | 3.9x | 204 | 52% |
| Parabolic SAR step=0.01, maxStep=0.26 |
3.2% | -75.8% | 0.26 | 0.04 | 2.0x | 280 | 48% |
| Buy and hold | 11.5% | -86.6% | 0.47 | 0.13 | 11.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average