Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shengyi Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shengyi Technology Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.6%, MDD -65.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.2%, drawdown -83.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.2%, MDD -71.4%, Sharpe 0.71, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 11.9%p (CAGR 16.6%, MDD -65.4%, exposure 60%).
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=71, slow=182 |
21.2% | -71.4% | 0.71 | 0.30 | 207.2x | 35 | 59% |
| EMA 크로스오버 fast=7, slow=69 |
19.0% | -67.0% | 0.67 | 0.28 | 125.8x | 142 | 57% |
| Supertrend period=8, mult=4.4 |
16.6% | -65.4% | 0.62 | 0.25 | 71.0x | 96 | 60% |
| ROC 모멘텀 n=111, threshold=-0.04 |
16.7% | -70.0% | 0.60 | 0.24 | 72.7x | 253 | 65% |
| Donchian 채널 돌파 entryN=37, exitN=79 |
16.5% | -75.8% | 0.59 | 0.22 | 68.5x | 51 | 70% |
| 볼린저 밴드 돌파 n=56, k=0.5 |
13.6% | -66.3% | 0.55 | 0.21 | 34.5x | 228 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=1.5 |
11.8% | -63.8% | 0.51 | 0.18 | 22.0x | 176 | 44% |
| MACD fast=14, slow=29, signal=18 |
11.7% | -59.3% | 0.50 | 0.20 | 21.3x | 362 | 51% |
| ADX / DI 방향성 period=39, threshold=12 |
11.3% | -71.8% | 0.50 | 0.16 | 19.7x | 178 | 41% |
| Parabolic SAR step=0.01, maxStep=0.2 |
10.9% | -59.8% | 0.48 | 0.18 | 17.6x | 360 | 50% |
| Buy and hold | 18.2% | -83.3% | 0.60 | 0.22 | 104.3x | 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 71-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 71-day average falls below the 182-day average