Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Angel Yeast Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Angel Yeast Co., Ltd. Class A. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.9%, MDD -35.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.6%, drawdown -79.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.7%, MDD -53.6%, Sharpe 0.65, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 8.9%, MDD -35.6%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=179, threshold=0.01 |
15.7% | -53.6% | 0.65 | 0.29 | 43.6x | 129 | 49% |
| SMA 크로스오버 fast=77, slow=180 |
15.4% | -54.8% | 0.65 | 0.28 | 41.2x | 30 | 49% |
| EMA 크로스오버 fast=77, slow=198 |
14.8% | -55.9% | 0.62 | 0.26 | 35.9x | 14 | 48% |
| Donchian 채널 돌파 entryN=81, exitN=78 |
11.6% | -63.7% | 0.54 | 0.18 | 17.1x | 26 | 49% |
| 볼린저 밴드 돌파 n=80, k=3 |
9.1% | -36.9% | 0.54 | 0.25 | 9.6x | 30 | 19% |
| ADX / DI 방향성 period=34, threshold=16 |
8.9% | -35.6% | 0.51 | 0.25 | 9.2x | 102 | 26% |
| Supertrend period=13, mult=5 |
9.2% | -70.2% | 0.45 | 0.13 | 9.7x | 65 | 59% |
| MACD fast=30, slow=48, signal=30 |
6.8% | -63.8% | 0.38 | 0.11 | 5.6x | 169 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=2.4 |
5.1% | -47.1% | 0.33 | 0.11 | 3.6x | 101 | 30% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-3.8% | -73.9% | -0.01 | -0.05 | 0.4x | 451 | 49% |
| Buy and hold | 7.6% | -79.0% | 0.39 | 0.10 | 6.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 179-day return is greater than 1%
- Sell — Sell when the 179-day return drops to 1% or below