Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CCOOP Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of CCOOP Group Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -50.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.3%, drawdown -94.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -62.8%, Sharpe 0.55, 15% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 10.7%, MDD -50.6%, exposure 16%).
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=108, exitN=14 |
11.5% | -62.8% | 0.55 | 0.18 | 34.3x | 52 | 15% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
11.0% | -52.1% | 0.55 | 0.21 | 30.0x | 34 | 11% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=4 |
10.7% | -50.6% | 0.52 | 0.21 | 27.6x | 36 | 16% |
| Supertrend period=29, mult=2.4 |
8.0% | -67.6% | 0.40 | 0.12 | 12.1x | 266 | 41% |
| ROC 모멘텀 n=50, threshold=0.11 |
6.5% | -71.6% | 0.36 | 0.09 | 7.8x | 280 | 24% |
| ADX / DI 방향성 period=24, threshold=21 |
6.2% | -68.7% | 0.35 | 0.09 | 7.1x | 124 | 22% |
| SMA 크로스오버 fast=7, slow=37 |
5.3% | -72.9% | 0.32 | 0.07 | 5.4x | 280 | 43% |
| EMA 크로스오버 fast=13, slow=45 |
4.3% | -75.8% | 0.31 | 0.06 | 3.9x | 168 | 43% |
| MACD fast=23, slow=63, signal=13 |
4.5% | -82.4% | 0.30 | 0.06 | 4.2x | 315 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
1.4% | -91.6% | 0.21 | 0.01 | 1.6x | 479 | 45% |
| Buy and hold | -3.3% | -94.5% | 0.19 | -0.04 | 0.3x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 14 days