Trend-Following Backtester · Guide · backtest 한국어

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CRRC Corporation Limited Class A backtest

10 trend-following strategies were compared on the full daily history of CRRC Corporation Limited Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.1%, MDD -37.8%).

Data 2008-08-18 ~ 2026-07-31daily bars 4,360 (17.9 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 3.3%, drawdown -87.0%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.1%, MDD -37.8%, Sharpe 0.70, 21% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 13.1%, MDD -37.8%, exposure 21%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=56, k=2.7
13.1%-37.8%0.700.359.1x3221%
ADX / DI 방향성
period=22, threshold=32
10.0%-38.1%0.630.265.5x2413%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=11, mult=2.6
10.5%-56.0%0.590.196.0x4524%
Donchian 채널 돌파
entryN=49, exitN=29
10.3%-38.8%0.560.275.9x4132%
Supertrend
period=29, mult=3
10.1%-56.3%0.540.185.7x9940%
SMA 크로스오버
fast=8, slow=102
9.0%-59.6%0.480.154.7x6141%
EMA 크로스오버
fast=39, slow=44
7.9%-70.8%0.430.113.9x4843%
ROC 모멘텀
n=67, threshold=0.04
6.5%-68.4%0.380.093.1x16735%
Parabolic SAR
step=0.005, maxStep=0.12
5.2%-72.6%0.330.072.5x13348%
MACD
fast=14, slow=47, signal=10
-1.0%-83.2%0.08-0.010.8x26350%
Buy and hold3.3%-87.0%0.270.041.8x1100%
1x 10x 2009 2012 2015 2018 2021 2024 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -65% -87% 2009 2012 2015 2018 2021 2024 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -37.8% (2015-04-17 → 2017-11-16), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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