Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shandong Hualu-Hengsheng Chemical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shandong Hualu-Hengsheng Chemical Co., 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 16.3%, MDD -62.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.5%, drawdown -79.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -62.1%, Sharpe 0.63, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 16.3%, MDD -62.1%, exposure 55%).
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=46, slow=212 |
16.3% | -62.1% | 0.63 | 0.26 | 38.5x | 30 | 55% |
| Supertrend period=25, mult=4.9 |
14.8% | -62.2% | 0.60 | 0.24 | 28.1x | 52 | 53% |
| Donchian 채널 돌파 entryN=57, exitN=75 |
14.1% | -63.9% | 0.56 | 0.22 | 24.0x | 32 | 59% |
| EMA 크로스오버 fast=28, slow=101 |
13.4% | -60.0% | 0.55 | 0.22 | 20.7x | 50 | 56% |
| MACD fast=33, slow=67, signal=37 |
12.7% | -54.6% | 0.55 | 0.23 | 17.9x | 131 | 53% |
| ROC 모멘텀 n=199, threshold=0 |
12.8% | -52.7% | 0.53 | 0.24 | 18.4x | 119 | 56% |
| 볼린저 밴드 돌파 n=52, k=1.7 |
8.9% | -65.0% | 0.45 | 0.14 | 7.8x | 108 | 40% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=13, mult=2.6 |
7.9% | -55.2% | 0.43 | 0.14 | 6.3x | 78 | 34% |
| Parabolic SAR step=0.005, maxStep=0.16 |
5.2% | -69.5% | 0.32 | 0.07 | 3.4x | 201 | 52% |
| ADX / DI 방향성 period=31, threshold=9 |
3.1% | -69.5% | 0.26 | 0.04 | 2.1x | 285 | 54% |
| Buy and hold | 14.5% | -79.2% | 0.54 | 0.18 | 26.3x | 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 46-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 46-day average falls below the 212-day average