Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Resources Gas Group Limited backtest
10 trend-following strategies were compared on the full daily history of China Resources Gas Group Limited. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -48.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.8%, drawdown -89.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -55.5%, Sharpe 0.37, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 4.5%, MDD -48.6%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=47 |
6.8% | -55.5% | 0.37 | 0.12 | 5.3x | 74 | 54% |
| Donchian 채널 돌파 entryN=36, exitN=58 |
5.9% | -63.5% | 0.34 | 0.09 | 4.3x | 64 | 61% |
| SMA 크로스오버 fast=11, slow=95 |
5.2% | -65.5% | 0.32 | 0.08 | 3.6x | 94 | 54% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=10, mult=3 |
4.5% | -48.6% | 0.32 | 0.09 | 3.1x | 68 | 17% |
| Supertrend period=5, mult=3 |
4.3% | -69.1% | 0.29 | 0.06 | 2.9x | 151 | 54% |
| 볼린저 밴드 돌파 n=51, k=2.5 |
3.6% | -49.7% | 0.27 | 0.07 | 2.5x | 78 | 27% |
| ROC 모멘텀 n=43, threshold=-0.01 |
1.9% | -71.3% | 0.21 | 0.03 | 1.6x | 370 | 54% |
| MACD fast=23, slow=29, signal=18 |
1.4% | -78.8% | 0.21 | 0.02 | 1.4x | 259 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.6% | -73.8% | 0.18 | 0.01 | 1.2x | 197 | 49% |
| ADX / DI 방향성 period=39, threshold=15 |
1.4% | -67.4% | 0.17 | 0.02 | 1.4x | 112 | 26% |
| Buy and hold | 3.8% | -89.9% | 0.31 | 0.04 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 47-day EMA
- Sell — Sell when the 42-day EMA falls below the 47-day EMA