Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Henan Pinggao Electric Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Henan Pinggao Electric Co., Ltd. Class A. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.2%, MDD -37.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.8%, drawdown -82.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -52.8%, Sharpe 0.53, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 9.2%, MDD -37.9%, exposure 23%).
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=57, slow=139 |
11.7% | -52.8% | 0.53 | 0.22 | 17.0x | 38 | 48% |
| ROC 모멘텀 n=150, threshold=-0.02 |
11.7% | -64.9% | 0.52 | 0.18 | 17.0x | 148 | 54% |
| 볼린저 밴드 돌파 n=87, k=2.6 |
9.2% | -37.9% | 0.50 | 0.24 | 9.6x | 32 | 23% |
| Donchian 채널 돌파 entryN=115, exitN=75 |
10.3% | -51.2% | 0.50 | 0.20 | 12.4x | 26 | 41% |
| EMA 크로스오버 fast=6, slow=101 |
9.9% | -44.1% | 0.47 | 0.22 | 11.1x | 122 | 50% |
| Keltner 채널 돌파 emaPeriod=3, atrPeriod=7, mult=1.8 |
2.2% | -5.7% | 0.46 | 0.38 | 1.7x | 4 | 1% |
| Supertrend period=13, mult=3.2 |
8.4% | -56.1% | 0.42 | 0.15 | 7.8x | 131 | 52% |
| ADX / DI 방향성 period=37, threshold=31 |
3.5% | -25.1% | 0.42 | 0.14 | 2.4x | 6 | 2% |
| MACD fast=18, slow=20, signal=15 |
7.2% | -70.4% | 0.39 | 0.10 | 6.0x | 334 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
7.0% | -61.7% | 0.38 | 0.11 | 5.7x | 194 | 47% |
| Buy and hold | 6.8% | -82.1% | 0.37 | 0.08 | 5.4x | 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 57-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 57-day average falls below the 139-day average