Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sany Heavy Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sany Heavy Industry Co., Ltd. Class A. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.9%, MDD -41.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 14.7%, drawdown -76.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 22.8%, MDD -57.8%, Sharpe 0.81, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 16.9%, MDD -41.3%, exposure 40%).
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=105, threshold=-0.04 |
22.8% | -57.8% | 0.81 | 0.39 | 113.7x | 140 | 58% |
| Donchian 채널 돌파 entryN=85, exitN=74 |
21.5% | -55.5% | 0.79 | 0.39 | 89.4x | 26 | 53% |
| SMA 크로스오버 fast=7, slow=176 |
21.3% | -52.2% | 0.79 | 0.41 | 85.4x | 56 | 51% |
| EMA 크로스오버 fast=36, slow=87 |
21.4% | -56.9% | 0.79 | 0.38 | 88.4x | 42 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=1.3 |
17.4% | -43.0% | 0.71 | 0.40 | 40.5x | 147 | 44% |
| 볼린저 밴드 돌파 n=77, k=1.8 |
16.9% | -41.3% | 0.70 | 0.41 | 36.6x | 64 | 40% |
| Supertrend period=8, mult=3.6 |
17.3% | -60.4% | 0.67 | 0.29 | 39.7x | 105 | 56% |
| ADX / DI 방향성 period=24, threshold=11 |
14.0% | -72.2% | 0.59 | 0.19 | 20.6x | 278 | 55% |
| Parabolic SAR step=0.015, maxStep=0.16 |
9.5% | -59.4% | 0.46 | 0.16 | 8.1x | 363 | 52% |
| MACD fast=15, slow=47, signal=16 |
8.6% | -56.1% | 0.43 | 0.15 | 6.7x | 257 | 53% |
| Buy and hold | 14.7% | -76.0% | 0.54 | 0.19 | 23.6x | 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 105-day return is greater than -4%
- Sell — Sell when the 105-day return drops to -4% or below