Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shandong Nanshan Aluminium Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shandong Nanshan Aluminium Co., Ltd. Class A. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.8%, MDD -52.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.1%, drawdown -88.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -57.0%, Sharpe 0.49, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 4.8%, MDD -52.5%, exposure 34%).
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=23, slow=193 |
11.0% | -57.0% | 0.49 | 0.19 | 16.0x | 48 | 44% |
| EMA 크로스오버 fast=49, slow=126 |
10.8% | -63.0% | 0.49 | 0.17 | 15.2x | 36 | 44% |
| Donchian 채널 돌파 entryN=113, exitN=73 |
10.3% | -55.2% | 0.48 | 0.19 | 13.7x | 30 | 39% |
| Supertrend period=17, mult=4.1 |
7.2% | -60.9% | 0.39 | 0.12 | 6.3x | 107 | 52% |
| ROC 모멘텀 n=137, threshold=0.01 |
7.0% | -60.3% | 0.37 | 0.12 | 6.1x | 178 | 46% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=1.4 |
5.8% | -58.4% | 0.35 | 0.10 | 4.4x | 160 | 36% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
4.8% | -52.5% | 0.31 | 0.09 | 3.5x | 112 | 34% |
| ADX / DI 방향성 period=27, threshold=11 |
2.6% | -79.5% | 0.24 | 0.03 | 2.0x | 291 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.3% | -80.9% | 0.13 | -0.00 | 0.9x | 203 | 48% |
| MACD fast=19, slow=25, signal=19 |
-0.4% | -64.3% | 0.13 | -0.01 | 0.9x | 329 | 52% |
| Buy and hold | 3.1% | -88.4% | 0.28 | 0.04 | 2.3x | 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 23-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 23-day average falls below the 193-day average