Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wintime Energy Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wintime Energy Group Co. Ltd. Class A. 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 8.8%, MDD -53.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.5%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.8%, MDD -64.3%, Sharpe 0.52, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 8.8%, MDD -53.9%, exposure 19%).
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=41, slow=102 |
11.8% | -64.3% | 0.52 | 0.18 | 23.3x | 70 | 40% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=2.8 |
8.8% | -53.9% | 0.46 | 0.16 | 10.8x | 84 | 19% |
| EMA 크로스오버 fast=25, slow=122 |
9.8% | -68.3% | 0.46 | 0.14 | 13.9x | 56 | 40% |
| 볼린저 밴드 돌파 n=46, k=2.7 |
8.3% | -65.3% | 0.45 | 0.13 | 9.5x | 76 | 19% |
| Donchian 채널 돌파 entryN=104, exitN=14 |
7.5% | -55.2% | 0.43 | 0.14 | 7.8x | 62 | 14% |
| ADX / DI 방향성 period=14, threshold=29 |
7.3% | -59.0% | 0.41 | 0.12 | 7.2x | 144 | 20% |
| Supertrend period=29, mult=4.6 |
7.9% | -65.9% | 0.41 | 0.12 | 8.6x | 96 | 39% |
| MACD fast=9, slow=28, signal=13 |
5.3% | -82.4% | 0.32 | 0.06 | 4.3x | 447 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.7% | -81.6% | 0.27 | 0.05 | 2.8x | 317 | 46% |
| ROC 모멘텀 n=114, threshold=0.07 |
3.6% | -87.8% | 0.27 | 0.04 | 2.7x | 226 | 35% |
| Buy and hold | 3.5% | -89.0% | 0.30 | 0.04 | 2.7x | 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 41-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 41-day average falls below the 102-day average