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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

CMOC Group Limited Class A backtest

10 trend-following strategies were compared on the full daily history of CMOC Group Limited Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.1%, MDD -39.0%).

Data 2012-10-09 ~ 2026-08-31daily bars 3,375 (13.9 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

2 of 10 beat buy and hold (CAGR 13.6%, drawdown -65.4%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.7%, MDD -52.1%, Sharpe 0.64, 47% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 15.1%, MDD -39.0%, exposure 40%).

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
ROC 모멘텀
n=41, threshold=0.01
17.7%-52.1%0.640.349.6x15747%
볼린저 밴드 돌파
n=54, k=1
15.1%-39.0%0.600.397.1x7040%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=27, mult=1
12.6%-42.6%0.530.305.2x8841%
Supertrend
period=22, mult=3.6
12.0%-57.2%0.510.214.8x6748%
ADX / DI 방향성
period=11, threshold=22
11.5%-46.1%0.500.254.5x16642%
SMA 크로스오버
fast=57, slow=202
11.8%-59.7%0.490.204.7x1854%
Donchian 채널 돌파
entryN=70, exitN=77
10.4%-63.2%0.460.163.9x2150%
EMA 크로스오버
fast=51, slow=216
8.1%-58.5%0.400.142.9x2355%
MACD
fast=12, slow=33, signal=16
6.3%-61.3%0.350.102.3x17852%
Parabolic SAR
step=0.015, maxStep=0.22
-3.0%-72.3%0.08-0.040.7x22050%
Buy and hold13.6%-65.4%0.510.215.9x1100%
1x 10x 2013 2015 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -33% -49% -65% 2013 2015 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -52.1% (2021-02-22 → 2023-01-10), recovered after 1,151 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CN assetsAll asset reports

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