Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Aluminum Corporation of China Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Aluminum Corporation of China Limited Class A. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.1%, MDD -53.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.9%, drawdown -95.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.7%, MDD -61.6%, Sharpe 0.66, 34% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 10.1%, MDD -53.5%, exposure 27%).
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=53, atrPeriod=19, mult=1.8 |
15.7% | -61.6% | 0.66 | 0.25 | 48.1x | 112 | 34% |
| Supertrend period=22, mult=4.7 |
14.8% | -64.3% | 0.60 | 0.23 | 38.7x | 78 | 46% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
13.9% | -60.2% | 0.60 | 0.23 | 31.5x | 102 | 37% |
| SMA 크로스오버 fast=7, slow=51 |
14.4% | -63.3% | 0.60 | 0.23 | 35.5x | 148 | 46% |
| EMA 크로스오버 fast=11, slow=31 |
12.2% | -69.4% | 0.53 | 0.18 | 21.5x | 166 | 47% |
| Donchian 채널 돌파 entryN=93, exitN=26 |
10.1% | -53.5% | 0.50 | 0.19 | 13.0x | 54 | 27% |
| ADX / DI 방향성 period=33, threshold=15 |
10.6% | -64.1% | 0.50 | 0.17 | 14.6x | 132 | 38% |
| ROC 모멘텀 n=38, threshold=-0.01 |
9.7% | -71.2% | 0.45 | 0.14 | 11.8x | 346 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
7.7% | -81.8% | 0.40 | 0.09 | 7.1x | 307 | 47% |
| MACD fast=14, slow=25, signal=9 |
7.6% | -68.7% | 0.39 | 0.11 | 7.1x | 421 | 51% |
| Buy and hold | 0.9% | -95.2% | 0.24 | 0.01 | 1.3x | 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 53-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 53-day average