Trend-Following Backtester · Guide · backtest 한국어

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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 15.8%, MDD -39.0%).

Data 2012-10-09 ~ 2026-07-31daily bars 3,354 (13.8 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 13.9%, drawdown -65.4%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.8%, MDD -52.1%, Sharpe 0.64, 47% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 15.8%, 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
17.8%-52.1%0.640.349.5x15447%
볼린저 밴드 돌파
n=54, k=1
15.8%-39.0%0.610.407.5x6940%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=27, mult=1
13.0%-42.6%0.530.305.4x8741%
ADX / DI 방향성
period=11, threshold=22
12.4%-46.1%0.530.275.0x16442%
Supertrend
period=22, mult=3.6
12.3%-57.2%0.510.215.0x6748%
SMA 크로스오버
fast=57, slow=202
11.9%-59.7%0.490.204.7x1855%
Donchian 채널 돌파
entryN=70, exitN=77
10.6%-63.2%0.470.174.0x2150%
EMA 크로스오버
fast=51, slow=216
8.3%-58.5%0.410.143.0x2355%
MACD
fast=12, slow=33, signal=16
6.8%-61.3%0.370.112.5x17752%
Parabolic SAR
step=0.015, maxStep=0.22
-2.6%-72.3%0.09-0.040.7x21950%
Buy and hold13.9%-65.4%0.520.216.1x1100%
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 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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