Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China International Marine Containers (Group) Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China International Marine Containers (Group) Co., Ltd Class A. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.7%, MDD -45.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.6%, drawdown -82.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.7%, MDD -45.4%, Sharpe 0.64, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 16.7%, MDD -45.4%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=45 |
16.7% | -45.4% | 0.64 | 0.37 | 152.2x | 90 | 55% |
| Donchian 채널 돌파 entryN=45, exitN=59 |
16.1% | -52.5% | 0.62 | 0.31 | 129.3x | 58 | 59% |
| Supertrend period=21, mult=4.9 |
14.2% | -67.8% | 0.58 | 0.21 | 74.1x | 86 | 52% |
| SMA 크로스오버 fast=16, slow=80 |
13.9% | -59.0% | 0.56 | 0.23 | 67.6x | 117 | 55% |
| ADX / DI 방향성 period=39, threshold=10 |
11.4% | -63.3% | 0.50 | 0.18 | 33.6x | 252 | 55% |
| ROC 모멘텀 n=87, threshold=-0.06 |
11.3% | -59.5% | 0.48 | 0.19 | 32.3x | 284 | 66% |
| Parabolic SAR step=0.005, maxStep=0.06 |
7.6% | -80.6% | 0.40 | 0.09 | 10.6x | 235 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.7 |
7.3% | -68.5% | 0.39 | 0.11 | 9.9x | 176 | 41% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
7.2% | -59.1% | 0.39 | 0.12 | 9.6x | 190 | 41% |
| MACD fast=6, slow=22, signal=13 |
2.5% | -73.7% | 0.23 | 0.03 | 2.3x | 686 | 51% |
| Buy and hold | 9.6% | -82.3% | 0.43 | 0.12 | 19.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 45-day EMA
- Sell — Sell when the 36-day EMA falls below the 45-day EMA