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. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.2%, MDD -40.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.7%, drawdown -89.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -48.2%, Sharpe 0.42, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 5.2%, MDD -40.2%, exposure 16%).
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=25, slow=71 |
8.2% | -48.2% | 0.42 | 0.17 | 7.5x | 95 | 52% |
| Donchian 채널 돌파 entryN=33, exitN=32 |
7.3% | -53.7% | 0.39 | 0.14 | 6.1x | 87 | 49% |
| EMA 크로스오버 fast=23, slow=31 |
6.5% | -50.7% | 0.36 | 0.13 | 5.0x | 135 | 52% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=11, mult=3.2 |
5.2% | -40.2% | 0.36 | 0.13 | 3.7x | 58 | 16% |
| Supertrend period=4, mult=4.4 |
5.9% | -66.6% | 0.34 | 0.09 | 4.3x | 91 | 62% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
4.3% | -60.2% | 0.29 | 0.07 | 2.9x | 152 | 38% |
| ADX / DI 방향성 period=16, threshold=26 |
2.6% | -54.4% | 0.23 | 0.05 | 1.9x | 160 | 19% |
| MACD fast=19, slow=26, signal=23 |
1.5% | -77.1% | 0.21 | 0.02 | 1.5x | 270 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.2% | -73.8% | 0.20 | 0.02 | 1.4x | 196 | 49% |
| ROC 모멘텀 n=57, threshold=-0.03 |
1.3% | -83.1% | 0.19 | 0.02 | 1.4x | 339 | 59% |
| Buy and hold | 3.7% | -89.9% | 0.30 | 0.04 | 2.5x | 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 25-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 25-day average falls below the 71-day average