Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Nuclear Engineering and Construction Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China Nuclear Engineering and Construction Corporation Limited Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -74.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 6.8%, MDD -71.7%, Sharpe 0.37, 47% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
6.8% | -71.7% | 0.37 | 0.10 | 2.0x | 121 | 47% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=27, mult=3.6 |
4.4% | -23.7% | 0.33 | 0.18 | 1.5x | 14 | 9% |
| Supertrend period=4, mult=4.1 |
4.9% | -69.1% | 0.31 | 0.07 | 1.6x | 40 | 59% |
| 볼린저 밴드 돌파 n=54, k=3.4 |
2.4% | -30.7% | 0.22 | 0.08 | 1.3x | 12 | 11% |
| Donchian 채널 돌파 entryN=88, exitN=11 |
0.5% | -49.0% | 0.12 | 0.01 | 1.0x | 24 | 10% |
| SMA 크로스오버 fast=37, slow=199 |
-1.5% | -48.9% | 0.09 | -0.03 | 0.9x | 12 | 43% |
| EMA 크로스오버 fast=56, slow=73 |
-2.1% | -54.2% | 0.07 | -0.04 | 0.8x | 24 | 44% |
| ROC 모멘텀 n=111, threshold=-0.03 |
-4.7% | -60.4% | -0.02 | -0.08 | 0.6x | 94 | 50% |
| ADX / DI 방향성 period=18, threshold=23 |
-4.5% | -59.1% | -0.05 | -0.08 | 0.6x | 52 | 27% |
| MACD fast=15, slow=23, signal=13 |
-7.2% | -69.1% | -0.12 | -0.10 | 0.5x | 167 | 53% |
| Buy and hold | 6.6% | -74.6% | 0.36 | 0.09 | 1.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots