Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Caihong Display Devices Co.,Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Caihong Display Devices Co.,Ltd. Class A. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.8%, MDD -59.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.5%, drawdown -88.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -80.2%, Sharpe 0.43, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 8.5%p (CAGR 5.8%, MDD -59.4%, exposure 25%).
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=70, slow=224 |
9.4% | -80.2% | 0.43 | 0.12 | 15.2x | 35 | 47% |
| Supertrend period=8, mult=3.2 |
8.3% | -67.9% | 0.40 | 0.12 | 11.2x | 165 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.9% | -76.9% | 0.36 | 0.09 | 7.5x | 371 | 49% |
| EMA 크로스오버 fast=58, slow=150 |
6.4% | -81.8% | 0.35 | 0.08 | 6.5x | 43 | 45% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
5.9% | -62.5% | 0.34 | 0.09 | 5.7x | 160 | 33% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=2.7 |
5.8% | -59.4% | 0.34 | 0.10 | 5.4x | 96 | 25% |
| Donchian 채널 돌파 entryN=108, exitN=18 |
4.0% | -64.1% | 0.28 | 0.06 | 3.3x | 66 | 20% |
| ADX / DI 방향성 period=21, threshold=13 |
3.2% | -83.9% | 0.27 | 0.04 | 2.6x | 381 | 45% |
| ROC 모멘텀 n=89, threshold=0.1 |
3.2% | -83.9% | 0.26 | 0.04 | 2.6x | 248 | 34% |
| MACD fast=18, slow=31, signal=7 |
-0.2% | -77.1% | 0.17 | -0.00 | 0.9x | 503 | 51% |
| Buy and hold | 2.5% | -88.7% | 0.30 | 0.03 | 2.1x | 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 70-day average price crosses above the 224-day average
- Sell — Sell (to cash) when the 70-day average falls below the 224-day average