Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanxi Coking Coal Energy Group Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Shanxi Coking Coal Energy Group Co., Ltd Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -49.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.2%, drawdown -89.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -59.1%, Sharpe 0.52, 46% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.9%, MDD -71.0%, exposure 66%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 8.5%, MDD -49.6%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=159 |
12.2% | -59.1% | 0.52 | 0.21 | 20.4x | 42 | 46% |
| Donchian 채널 돌파 entryN=14, exitN=35 |
12.9% | -71.0% | 0.52 | 0.18 | 23.9x | 116 | 66% |
| ROC 모멘텀 n=123, threshold=0.07 |
11.4% | -64.2% | 0.51 | 0.18 | 17.1x | 156 | 39% |
| Supertrend period=12, mult=3.8 |
11.3% | -61.5% | 0.49 | 0.18 | 16.4x | 108 | 51% |
| ADX / DI 방향성 period=30, threshold=14 |
10.3% | -65.1% | 0.48 | 0.16 | 13.0x | 166 | 37% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=8, mult=4 |
8.5% | -49.6% | 0.48 | 0.17 | 8.5x | 32 | 15% |
| MACD fast=17, slow=88, signal=33 |
10.9% | -75.6% | 0.48 | 0.14 | 14.9x | 186 | 53% |
| EMA 크로스오버 fast=78, slow=143 |
10.6% | -58.4% | 0.47 | 0.18 | 14.0x | 28 | 44% |
| Parabolic SAR step=0.005, maxStep=0.06 |
10.4% | -73.6% | 0.47 | 0.14 | 13.2x | 186 | 48% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
8.7% | -62.5% | 0.43 | 0.14 | 8.9x | 168 | 38% |
| Buy and hold | 5.2% | -89.2% | 0.34 | 0.06 | 3.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 55-day average falls below the 159-day average