Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Energy Engineering Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Energy Engineering Corp. Ltd. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.1%, MDD -8.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.9%, drawdown -37.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.7%, MDD -13.3%, Sharpe 0.76, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 3.1%, MDD -8.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=7, k=2.3 |
10.7% | -13.3% | 0.76 | 0.80 | 1.7x | 14 | 5% |
| ROC 모멘텀 n=1, threshold=0.09 |
3.1% | -8.8% | 0.48 | 0.36 | 1.2x | 18 | 1% |
| Supertrend period=37, mult=2.4 |
7.1% | -29.1% | 0.43 | 0.24 | 1.4x | 34 | 31% |
| ADX / DI 방향성 period=11, threshold=37 |
4.4% | -21.5% | 0.34 | 0.21 | 1.2x | 18 | 14% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=29, mult=1.6 |
2.7% | -29.7% | 0.23 | 0.09 | 1.1x | 32 | 17% |
| Donchian 채널 돌파 entryN=75, exitN=3 |
1.8% | -21.4% | 0.20 | 0.08 | 1.1x | 12 | 4% |
| MACD fast=18, slow=25, signal=15 |
1.2% | -37.6% | 0.17 | 0.03 | 1.1x | 60 | 51% |
| SMA 크로스오버 fast=59, slow=203 |
1.2% | -34.5% | 0.16 | 0.04 | 1.1x | 6 | 51% |
| EMA 크로스오버 fast=47, slow=208 |
-0.2% | -34.5% | 0.09 | -0.01 | 1.0x | 6 | 38% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-3.8% | -36.9% | -0.06 | -0.10 | 0.8x | 46 | 44% |
| Buy and hold | -2.9% | -37.9% | 0.05 | -0.08 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 7-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 7-day middle average