Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China State Construction Engineering Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China State Construction Engineering Corp. Ltd. Class A. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -26.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.0%, drawdown -60.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.3%, MDD -26.7%, Sharpe 0.48, 4% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 5.9%, MDD -35.7%, exposure 6%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 5.3%, MDD -26.7%, exposure 4%).
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=19, atrPeriod=12, mult=3.6 |
5.3% | -26.7% | 0.48 | 0.20 | 2.4x | 14 | 4% |
| ADX / DI 방향성 period=36, threshold=30 |
5.9% | -35.7% | 0.47 | 0.17 | 2.7x | 6 | 6% |
| SMA 크로스오버 fast=41, slow=175 |
3.8% | -47.0% | 0.28 | 0.08 | 1.9x | 26 | 39% |
| Donchian 채널 돌파 entryN=68, exitN=40 |
3.3% | -63.3% | 0.26 | 0.05 | 1.7x | 32 | 35% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
1.7% | -41.9% | 0.21 | 0.04 | 1.3x | 20 | 5% |
| EMA 크로스오버 fast=39, slow=87 |
0.4% | -64.1% | 0.13 | 0.01 | 1.1x | 40 | 40% |
| ROC 모멘텀 n=104, threshold=0.07 |
0.4% | -65.1% | 0.12 | 0.01 | 1.1x | 140 | 27% |
| Supertrend period=18, mult=3.2 |
-0.2% | -51.7% | 0.09 | -0.00 | 1.0x | 99 | 42% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-1.4% | -56.7% | 0.03 | -0.03 | 0.8x | 195 | 44% |
| MACD fast=13, slow=47, signal=16 |
-2.1% | -69.9% | 0.01 | -0.03 | 0.7x | 209 | 50% |
| Buy and hold | 0.0% | -60.8% | 0.15 | 0.00 | 1.0x | 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 19-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average