Trend-Following Backtester · Guide · backtest 한국어
equity · CN
COL Global Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of COL Global Co., Ltd. Class A. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 35.9%, MDD -43.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 23.5%, drawdown -93.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 35.9%, MDD -43.1%, Sharpe 1.22, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 35.9%, MDD -43.1%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=1, threshold=0.09 |
35.9% | -43.1% | 1.22 | 0.83 | 36.2x | 196 | 5% |
| Parabolic SAR step=0.01, maxStep=0.14 |
34.5% | -76.0% | 0.83 | 0.45 | 32.0x | 148 | 46% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=1.9 |
25.2% | -70.9% | 0.79 | 0.35 | 13.8x | 52 | 11% |
| 볼린저 밴드 돌파 n=15, k=1.7 |
28.7% | -75.9% | 0.78 | 0.38 | 19.1x | 138 | 27% |
| Supertrend period=8, mult=2.3 |
26.7% | -80.2% | 0.72 | 0.33 | 16.0x | 102 | 41% |
| Donchian 채널 돌파 entryN=9, exitN=5 |
25.5% | -78.4% | 0.71 | 0.32 | 14.2x | 142 | 35% |
| MACD fast=6, slow=38, signal=11 |
19.5% | -79.2% | 0.61 | 0.25 | 8.0x | 216 | 50% |
| ADX / DI 방향성 period=12, threshold=19 |
16.8% | -73.4% | 0.56 | 0.23 | 6.2x | 164 | 42% |
| EMA 크로스오버 fast=6, slow=10 |
11.7% | -80.0% | 0.48 | 0.15 | 3.6x | 206 | 41% |
| SMA 크로스오버 fast=16, slow=23 |
7.5% | -86.0% | 0.40 | 0.09 | 2.3x | 150 | 43% |
| Buy and hold | 23.5% | -93.4% | 0.66 | 0.25 | 11.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than 9%
- Sell — Sell when the 1-day return drops to 9% or below