Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Haohua Chemical Science & Technology Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Haohua Chemical Science & Technology Corp. Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -58.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.5%, drawdown -85.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -58.0%, Sharpe 0.49, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 11.7%, MDD -58.0%, exposure 54%).
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=58, slow=183 |
11.7% | -58.0% | 0.49 | 0.20 | 17.0x | 31 | 54% |
| EMA 크로스오버 fast=57, slow=188 |
9.2% | -70.0% | 0.43 | 0.13 | 9.5x | 27 | 51% |
| ROC 모멘텀 n=148, threshold=-0.01 |
6.7% | -67.9% | 0.37 | 0.10 | 5.3x | 219 | 54% |
| Donchian 채널 돌파 entryN=101, exitN=66 |
5.9% | -69.2% | 0.34 | 0.08 | 4.3x | 35 | 43% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=4 |
4.9% | -48.6% | 0.33 | 0.10 | 3.4x | 34 | 15% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
4.2% | -69.4% | 0.29 | 0.06 | 2.9x | 80 | 27% |
| Supertrend period=22, mult=3.2 |
1.7% | -81.8% | 0.23 | 0.02 | 1.5x | 158 | 48% |
| ADX / DI 방향성 period=27, threshold=23 |
2.2% | -69.2% | 0.21 | 0.03 | 1.8x | 56 | 13% |
| MACD fast=15, slow=45, signal=16 |
0.9% | -82.8% | 0.21 | 0.01 | 1.3x | 311 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.5% | -89.1% | 0.16 | -0.01 | 0.9x | 321 | 49% |
| Buy and hold | 7.5% | -85.6% | 0.40 | 0.09 | 6.4x | 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 58-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 58-day average falls below the 183-day average