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. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 36.6%, MDD -43.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 24.5%, drawdown -93.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 36.6%, MDD -43.1%, Sharpe 1.23, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 36.6%, 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 |
36.6% | -43.1% | 1.23 | 0.85 | 36.3x | 192 | 5% |
| 볼린저 밴드 돌파 n=13, k=1.8 |
29.2% | -79.8% | 0.79 | 0.37 | 19.2x | 142 | 25% |
| Parabolic SAR step=0.015, maxStep=0.08 |
31.1% | -82.1% | 0.78 | 0.38 | 22.6x | 172 | 45% |
| Supertrend period=9, mult=2.4 |
28.3% | -77.4% | 0.74 | 0.37 | 17.6x | 94 | 41% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=12, mult=3.5 |
19.6% | -39.3% | 0.74 | 0.50 | 7.9x | 20 | 6% |
| MACD fast=9, slow=47, signal=7 |
19.2% | -80.2% | 0.60 | 0.24 | 7.6x | 211 | 50% |
| ADX / DI 방향성 period=16, threshold=31 |
16.2% | -46.1% | 0.58 | 0.35 | 5.6x | 34 | 18% |
| Donchian 채널 돌파 entryN=64, exitN=4 |
7.9% | -46.0% | 0.40 | 0.17 | 2.4x | 38 | 10% |
| EMA 크로스오버 fast=53, slow=116 |
-1.1% | -82.3% | 0.23 | -0.01 | 0.9x | 20 | 38% |
| SMA 크로스오버 fast=52, slow=60 |
-2.7% | -84.7% | 0.20 | -0.03 | 0.7x | 64 | 41% |
| Buy and hold | 24.5% | -93.4% | 0.67 | 0.26 | 12.5x | 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