Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China National Nuclear Power Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China National Nuclear Power Co. Ltd. Class A. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -23.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.4%, drawdown -71.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -23.7%, Sharpe 0.46, 33% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.1%, MDD -27.6%, exposure 42%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 47.4%p (CAGR 6.1%, MDD -23.0%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=71, exitN=38 |
6.4% | -23.7% | 0.46 | 0.27 | 2.0x | 12 | 33% |
| EMA 크로스오버 fast=40, slow=54 |
7.1% | -27.6% | 0.45 | 0.26 | 2.2x | 24 | 42% |
| SMA 크로스오버 fast=49, slow=219 |
6.1% | -23.0% | 0.43 | 0.27 | 2.0x | 12 | 43% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=4 |
3.4% | -20.3% | 0.36 | 0.17 | 1.5x | 10 | 11% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
2.0% | -20.3% | 0.23 | 0.10 | 1.3x | 14 | 12% |
| ADX / DI 방향성 period=36, threshold=13 |
1.6% | -34.3% | 0.18 | 0.05 | 1.2x | 50 | 38% |
| ROC 모멘텀 n=138, threshold=0.1 |
1.0% | -27.2% | 0.15 | 0.04 | 1.1x | 64 | 25% |
| Supertrend period=10, mult=4.9 |
0.3% | -47.9% | 0.12 | 0.01 | 1.0x | 23 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-6.1% | -80.9% | -0.17 | -0.08 | 0.5x | 214 | 50% |
| MACD fast=10, slow=32, signal=16 |
-7.5% | -66.6% | -0.34 | -0.11 | 0.4x | 177 | 51% |
| Buy and hold | 5.4% | -71.1% | 0.33 | 0.08 | 1.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 71 days
- Sell — Sell when price breaks below the lowest low of the last 38 days