Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sichuan Road & Bridge Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sichuan Road & Bridge Co., Ltd. Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.4%, MDD -58.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -78.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -58.1%, Sharpe 0.50, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 11.4%, MDD -58.1%, exposure 51%).
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=107, slow=238 |
11.4% | -58.1% | 0.50 | 0.20 | 12.3x | 20 | 51% |
| ADX / DI 방향성 period=24, threshold=27 |
6.2% | -54.3% | 0.42 | 0.11 | 4.0x | 54 | 13% |
| Supertrend period=10, mult=2 |
4.8% | -59.5% | 0.31 | 0.08 | 3.0x | 253 | 47% |
| Donchian 채널 돌파 entryN=35, exitN=57 |
4.2% | -68.2% | 0.30 | 0.06 | 2.6x | 55 | 63% |
| EMA 크로스오버 fast=46, slow=151 |
3.1% | -86.0% | 0.26 | 0.04 | 2.0x | 36 | 53% |
| 볼린저 밴드 돌파 n=56, k=3 |
3.1% | -40.6% | 0.26 | 0.08 | 2.0x | 47 | 19% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=1.8 |
2.5% | -70.5% | 0.23 | 0.04 | 1.8x | 139 | 29% |
| Parabolic SAR step=0.015, maxStep=0.08 |
2.1% | -56.0% | 0.22 | 0.04 | 1.6x | 316 | 51% |
| ROC 모멘텀 n=65, threshold=-0.08 |
0.9% | -75.9% | 0.20 | 0.01 | 1.2x | 270 | 69% |
| MACD fast=7, slow=35, signal=10 |
-0.4% | -75.8% | 0.14 | -0.01 | 0.9x | 471 | 53% |
| Buy and hold | 8.0% | -78.5% | 0.40 | 0.10 | 6.0x | 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 107-day average price crosses above the 238-day average
- Sell — Sell (to cash) when the 107-day average falls below the 238-day average