Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chengtun Mining Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chengtun Mining Group Co., Ltd. Class A. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.1%, MDD -57.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.1%, drawdown -88.4%).
Sharpe leader (same as main): MACD — CAGR 15.2%, MDD -63.6%, Sharpe 0.58, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 9.1%, MDD -57.8%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=7, slow=75, signal=15 |
15.2% | -63.6% | 0.58 | 0.24 | 72.0x | 425 | 51% |
| Donchian 채널 돌파 entryN=39, exitN=97 |
12.8% | -79.5% | 0.50 | 0.16 | 37.9x | 46 | 68% |
| SMA 크로스오버 fast=34, slow=149 |
11.2% | -66.8% | 0.48 | 0.17 | 24.8x | 68 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=9, mult=3.3 |
8.8% | -60.1% | 0.47 | 0.15 | 12.8x | 80 | 20% |
| Supertrend period=23, mult=2.7 |
10.2% | -79.2% | 0.46 | 0.13 | 18.6x | 245 | 49% |
| 볼린저 밴드 돌파 n=21, k=2.2 |
9.1% | -57.8% | 0.45 | 0.16 | 13.8x | 232 | 29% |
| Parabolic SAR step=0.01, maxStep=0.38 |
8.4% | -65.0% | 0.41 | 0.13 | 11.5x | 356 | 50% |
| ROC 모멘텀 n=100, threshold=-0.07 |
7.5% | -80.3% | 0.38 | 0.09 | 8.8x | 264 | 60% |
| EMA 크로스오버 fast=39, slow=148 |
7.3% | -74.9% | 0.38 | 0.10 | 8.4x | 46 | 46% |
| ADX / DI 방향성 period=23, threshold=8 |
5.7% | -88.5% | 0.34 | 0.06 | 5.4x | 416 | 56% |
| Buy and hold | 6.1% | -88.4% | 0.37 | 0.07 | 6.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (7/75) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line