Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anhui Conch Cement Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Anhui Conch Cement Company Limited Class A. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.9%, MDD -52.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.2%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.9%, MDD -52.9%, Sharpe 0.67, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 15.9%, MDD -52.9%, exposure 53%).
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=29, slow=152 |
15.9% | -52.9% | 0.67 | 0.30 | 36.8x | 38 | 53% |
| Donchian 채널 돌파 entryN=107, exitN=58 |
13.8% | -55.5% | 0.63 | 0.25 | 23.9x | 26 | 44% |
| EMA 크로스오버 fast=41, slow=102 |
14.0% | -54.7% | 0.61 | 0.26 | 24.8x | 40 | 54% |
| Supertrend period=12, mult=4.4 |
12.5% | -61.4% | 0.56 | 0.20 | 18.0x | 80 | 60% |
| ROC 모멘텀 n=110, threshold=0.03 |
11.9% | -59.1% | 0.55 | 0.20 | 15.7x | 186 | 49% |
| ADX / DI 방향성 period=28, threshold=13 |
5.7% | -62.2% | 0.34 | 0.09 | 3.9x | 227 | 47% |
| 볼린저 밴드 돌파 n=48, k=0.9 |
5.0% | -69.9% | 0.32 | 0.07 | 3.3x | 170 | 44% |
| Parabolic SAR step=0.01, maxStep=0.44 |
4.7% | -62.8% | 0.31 | 0.07 | 3.1x | 325 | 51% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=27, mult=2.7 |
3.6% | -60.3% | 0.27 | 0.06 | 2.4x | 100 | 31% |
| MACD fast=8, slow=37, signal=11 |
3.2% | -79.0% | 0.26 | 0.04 | 2.2x | 437 | 50% |
| Buy and hold | 9.2% | -83.5% | 0.43 | 0.11 | 8.6x | 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 29-day average price crosses above the 152-day average
- Sell — Sell (to cash) when the 29-day average falls below the 152-day average