Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuxi Taiji Industry Limited Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Wuxi Taiji Industry Limited Corporation Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 6.8%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -72.4%, Sharpe 0.39, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=32, slow=134 |
8.0% | -72.4% | 0.39 | 0.11 | 12.9x | 71 | 50% |
| Supertrend period=27, mult=2 |
7.4% | -88.2% | 0.38 | 0.08 | 10.5x | 368 | 44% |
| EMA 크로스오버 fast=44, slow=197 |
6.6% | -79.3% | 0.36 | 0.08 | 8.3x | 45 | 49% |
| Donchian 채널 돌파 entryN=22, exitN=69 |
5.4% | -84.9% | 0.34 | 0.06 | 5.6x | 91 | 73% |
| 볼린저 밴드 돌파 n=39, k=0.7 |
5.3% | -82.7% | 0.32 | 0.06 | 5.5x | 298 | 41% |
| Parabolic SAR step=0.015, maxStep=0.16 |
5.0% | -82.3% | 0.32 | 0.06 | 5.0x | 514 | 48% |
| MACD fast=7, slow=23, signal=18 |
4.4% | -86.4% | 0.30 | 0.05 | 4.1x | 586 | 52% |
| ROC 모멘텀 n=113, threshold=-0.01 |
3.7% | -78.8% | 0.29 | 0.05 | 3.4x | 321 | 52% |
| ADX / DI 방향성 period=35, threshold=7 |
3.3% | -84.7% | 0.28 | 0.04 | 3.0x | 375 | 55% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=1.3 |
2.7% | -77.9% | 0.25 | 0.03 | 2.4x | 270 | 33% |
| Buy and hold | 6.8% | -83.9% | 0.38 | 0.08 | 8.9x | 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 32-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 32-day average falls below the 134-day average