Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huadian Energy Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Huadian Energy Company Limited Class A. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.1%, MDD -54.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.8%, drawdown -89.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.7%, MDD -70.9%, Sharpe 0.39, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 19.0%p (CAGR 2.1%, MDD -54.5%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=77, slow=132 |
7.7% | -70.9% | 0.39 | 0.11 | 9.2x | 33 | 46% |
| SMA 크로스오버 fast=47, slow=187 |
6.2% | -70.9% | 0.35 | 0.09 | 6.1x | 43 | 44% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=3.6 |
4.9% | -62.9% | 0.33 | 0.08 | 4.2x | 42 | 13% |
| Donchian 채널 돌파 entryN=59, exitN=47 |
5.0% | -89.5% | 0.31 | 0.06 | 4.3x | 58 | 38% |
| 볼린저 밴드 돌파 n=69, k=2.1 |
4.3% | -86.7% | 0.29 | 0.05 | 3.6x | 76 | 25% |
| ROC 모멘텀 n=121, threshold=0.14 |
3.3% | -78.7% | 0.26 | 0.04 | 2.6x | 183 | 26% |
| ADX / DI 방향성 period=32, threshold=30 |
2.1% | -54.5% | 0.21 | 0.04 | 1.9x | 20 | 6% |
| Supertrend period=28, mult=2 |
1.0% | -76.1% | 0.18 | 0.01 | 1.3x | 336 | 44% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-1.2% | -92.2% | 0.11 | -0.01 | 0.7x | 544 | 46% |
| MACD fast=14, slow=50, signal=10 |
-2.4% | -87.0% | 0.07 | -0.03 | 0.5x | 442 | 52% |
| Buy and hold | 1.8% | -89.9% | 0.25 | 0.02 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 77-day EMA crosses above the 132-day EMA
- Sell — Sell when the 77-day EMA falls below the 132-day EMA