Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sichuan Chuantou Energy Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sichuan Chuantou Energy Co., Ltd. Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -52.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.7%, drawdown -86.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -52.9%, Sharpe 0.53, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 12.7%, MDD -52.9%, exposure 52%).
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=38, slow=121 |
12.7% | -52.9% | 0.53 | 0.24 | 50.7x | 65 | 52% |
| Donchian 채널 돌파 entryN=40, exitN=51 |
11.7% | -62.9% | 0.50 | 0.19 | 37.9x | 73 | 57% |
| ADX / DI 방향성 period=32, threshold=9 |
10.7% | -72.6% | 0.47 | 0.15 | 28.6x | 305 | 54% |
| Supertrend period=27, mult=2.5 |
10.4% | -65.6% | 0.47 | 0.16 | 26.1x | 251 | 50% |
| 볼린저 밴드 돌파 n=48, k=1.8 |
9.3% | -62.6% | 0.46 | 0.15 | 18.8x | 155 | 34% |
| EMA 크로스오버 fast=46, slow=60 |
9.5% | -71.3% | 0.44 | 0.13 | 19.8x | 81 | 52% |
| Parabolic SAR step=0.025, maxStep=0.06 |
8.7% | -73.0% | 0.42 | 0.12 | 15.4x | 487 | 51% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=27, mult=2.1 |
7.4% | -66.7% | 0.40 | 0.11 | 10.5x | 173 | 27% |
| ROC 모멘텀 n=136, threshold=-0.02 |
7.1% | -70.1% | 0.37 | 0.10 | 9.5x | 233 | 60% |
| MACD fast=15, slow=45, signal=19 |
2.4% | -82.9% | 0.24 | 0.03 | 2.2x | 395 | 54% |
| Buy and hold | 8.7% | -86.5% | 0.41 | 0.10 | 15.7x | 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 38-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 38-day average falls below the 121-day average