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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -49.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.2%, drawdown -89.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -68.7%, Sharpe 0.53, 57% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 10.6%, MDD -49.9%, exposure 25%).
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=24, exitN=34 |
13.3% | -68.7% | 0.53 | 0.19 | 25.9x | 92 | 57% |
| SMA 크로스오버 fast=27, slow=179 |
12.0% | -59.2% | 0.51 | 0.20 | 19.1x | 46 | 46% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=15, mult=3.4 |
10.6% | -49.9% | 0.51 | 0.21 | 13.8x | 52 | 25% |
| ADX / DI 방향성 period=34, threshold=12 |
11.4% | -60.2% | 0.51 | 0.19 | 16.4x | 188 | 42% |
| ROC 모멘텀 n=141, threshold=0.09 |
10.6% | -67.4% | 0.48 | 0.16 | 13.8x | 134 | 37% |
| EMA 크로스오버 fast=54, slow=202 |
10.5% | -57.2% | 0.47 | 0.18 | 13.3x | 26 | 43% |
| MACD fast=29, slow=79, signal=18 |
10.5% | -80.0% | 0.46 | 0.13 | 13.3x | 193 | 53% |
| Supertrend period=23, mult=3.9 |
9.7% | -62.9% | 0.45 | 0.15 | 11.0x | 110 | 50% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
8.7% | -64.5% | 0.43 | 0.13 | 8.7x | 166 | 39% |
| Parabolic SAR step=0.005, maxStep=0.2 |
8.3% | -74.4% | 0.41 | 0.11 | 8.0x | 195 | 47% |
| Buy and hold | 5.2% | -89.2% | 0.34 | 0.06 | 3.8x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 34 days