Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Grinm Advanced Materials Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Grinm Advanced Materials Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -90.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -77.7%, Sharpe 0.50, 48% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=242 |
12.2% | -77.7% | 0.50 | 0.16 | 23.7x | 27 | 48% |
| EMA 크로스오버 fast=58, slow=178 |
9.0% | -82.9% | 0.42 | 0.11 | 10.6x | 39 | 49% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
3.6% | -27.6% | 0.40 | 0.13 | 2.7x | 18 | 2% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=4 |
3.7% | -24.0% | 0.34 | 0.15 | 2.7x | 26 | 3% |
| ADX / DI 방향성 period=35, threshold=21 |
5.1% | -53.1% | 0.32 | 0.10 | 3.9x | 53 | 16% |
| ROC 모멘텀 n=100, threshold=-0.04 |
4.8% | -81.5% | 0.32 | 0.06 | 3.6x | 299 | 55% |
| Donchian 채널 돌파 entryN=85, exitN=66 |
3.9% | -78.9% | 0.28 | 0.05 | 2.8x | 43 | 41% |
| MACD fast=19, slow=33, signal=13 |
2.0% | -79.6% | 0.24 | 0.02 | 1.7x | 355 | 51% |
| Supertrend period=13, mult=3.5 |
1.3% | -80.9% | 0.22 | 0.02 | 1.4x | 145 | 49% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.3% | -89.1% | 0.14 | -0.02 | 0.7x | 205 | 47% |
| Buy and hold | 7.3% | -90.5% | 0.39 | 0.08 | 6.9x | 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 242-day average
- Sell — Sell (to cash) when the 41-day average falls below the 242-day average