Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Railway Construction Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China Railway Construction Corporation Limited Class A. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -20.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.5%, drawdown -78.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.7%, MDD -35.4%, Sharpe 0.58, 11% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 6.2%, MDD -20.0%, exposure 6%).
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=73, atrPeriod=7, mult=4 |
8.7% | -35.4% | 0.58 | 0.25 | 4.7x | 10 | 11% |
| ADX / DI 방향성 period=30, threshold=30 |
7.9% | -25.4% | 0.56 | 0.31 | 4.1x | 10 | 7% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
6.2% | -20.0% | 0.54 | 0.31 | 3.1x | 18 | 6% |
| ROC 모멘텀 n=101, threshold=0.18 |
6.7% | -40.1% | 0.44 | 0.17 | 3.3x | 56 | 13% |
| Donchian 채널 돌파 entryN=136, exitN=35 |
4.5% | -64.2% | 0.33 | 0.07 | 2.2x | 20 | 17% |
| SMA 크로스오버 fast=74, slow=148 |
3.4% | -59.7% | 0.26 | 0.06 | 1.9x | 36 | 38% |
| Supertrend period=9, mult=4.2 |
1.0% | -72.5% | 0.17 | 0.01 | 1.2x | 64 | 50% |
| EMA 크로스오버 fast=56, slow=86 |
0.3% | -73.0% | 0.13 | 0.00 | 1.1x | 38 | 35% |
| MACD fast=19, slow=22, signal=19 |
-0.1% | -67.1% | 0.12 | -0.00 | 1.0x | 214 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-4.6% | -75.3% | -0.06 | -0.06 | 0.4x | 222 | 46% |
| Buy and hold | -3.5% | -78.1% | 0.07 | -0.05 | 0.5x | 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 73-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 73-day average