Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hubei Xingfa Chemicals Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hubei Xingfa Chemicals Group Co., Ltd. Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -79.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.1%, MDD -70.5%, Sharpe 0.35, 48% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.1%, MDD -74.6%, exposure 50%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=39, slow=215 |
6.1% | -70.5% | 0.35 | 0.09 | 4.9x | 31 | 48% |
| ROC 모멘텀 n=149, threshold=-0.01 |
6.1% | -74.6% | 0.35 | 0.08 | 4.9x | 172 | 50% |
| Supertrend period=25, mult=4 |
5.3% | -73.0% | 0.33 | 0.07 | 4.1x | 110 | 49% |
| SMA 크로스오버 fast=33, slow=157 |
5.1% | -74.9% | 0.32 | 0.07 | 3.9x | 49 | 48% |
| MACD fast=8, slow=36, signal=15 |
3.3% | -69.0% | 0.27 | 0.05 | 2.4x | 416 | 52% |
| Donchian 채널 돌파 entryN=101, exitN=72 |
3.1% | -77.2% | 0.26 | 0.04 | 2.3x | 35 | 45% |
| 볼린저 밴드 돌파 n=68, k=1.9 |
2.5% | -71.2% | 0.23 | 0.04 | 2.0x | 98 | 32% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=2.9 |
2.4% | -72.9% | 0.23 | 0.03 | 1.9x | 92 | 25% |
| ADX / DI 방향성 period=39, threshold=29 |
1.4% | -30.5% | 0.19 | 0.05 | 1.5x | 8 | 2% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-1.3% | -87.7% | 0.12 | -0.02 | 0.7x | 468 | 51% |
| Buy and hold | 6.1% | -79.4% | 0.36 | 0.08 | 5.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 215-day EMA
- Sell — Sell when the 39-day EMA falls below the 215-day EMA