Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China National Building Material Co. Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of China National Building Material Co. Ltd. Class H. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.0%, MDD -43.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.0%, drawdown -95.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.3%, MDD -72.1%, Sharpe 0.59, 52% exposure.
CAGR reference leader: Supertrend — CAGR 16.1%, MDD -64.5%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 9.0%, MDD -43.4%, exposure 18%).
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=65, slow=86 |
15.3% | -72.1% | 0.59 | 0.21 | 18.2x | 66 | 52% |
| Supertrend period=15, mult=2.8 |
16.1% | -64.5% | 0.58 | 0.25 | 20.8x | 140 | 53% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=28, mult=3.3 |
9.0% | -43.4% | 0.49 | 0.21 | 5.8x | 60 | 18% |
| EMA 크로스오버 fast=19, slow=48 |
11.2% | -78.3% | 0.48 | 0.14 | 8.7x | 88 | 51% |
| 볼린저 밴드 돌파 n=43, k=2.2 |
9.3% | -62.2% | 0.46 | 0.15 | 6.1x | 88 | 30% |
| ROC 모멘텀 n=72, threshold=-0.02 |
9.1% | -76.1% | 0.42 | 0.12 | 5.9x | 220 | 55% |
| Donchian 채널 돌파 entryN=110, exitN=74 |
8.2% | -71.3% | 0.41 | 0.11 | 4.9x | 26 | 45% |
| MACD fast=20, slow=49, signal=18 |
7.3% | -78.5% | 0.38 | 0.09 | 4.2x | 186 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
6.9% | -65.9% | 0.36 | 0.10 | 3.9x | 254 | 49% |
| ADX / DI 방향성 period=18, threshold=16 |
5.8% | -76.4% | 0.34 | 0.08 | 3.2x | 252 | 41% |
| Buy and hold | 4.0% | -95.3% | 0.35 | 0.04 | 2.2x | 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 65-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 65-day average falls below the 86-day average