Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanxi Xinghuacun Fen Wine Factory Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanxi Xinghuacun Fen Wine Factory Co. Ltd. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.6%, MDD -64.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.2%, drawdown -81.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.9%, MDD -71.7%, Sharpe 0.63, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.0%, MDD -79.8%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 10.0%p (CAGR 16.6%, MDD -64.7%, exposure 57%).
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=47, slow=160 |
17.9% | -71.7% | 0.63 | 0.25 | 213.0x | 46 | 57% |
| Donchian 채널 돌파 entryN=46, exitN=53 |
18.0% | -79.8% | 0.63 | 0.23 | 218.3x | 65 | 59% |
| Supertrend period=4, mult=3.1 |
16.6% | -64.7% | 0.60 | 0.26 | 147.0x | 177 | 57% |
| EMA 크로스오버 fast=53, slow=218 |
13.3% | -74.6% | 0.53 | 0.18 | 57.8x | 46 | 52% |
| ROC 모멘텀 n=139, threshold=0.02 |
11.8% | -88.4% | 0.50 | 0.13 | 37.7x | 276 | 53% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
10.4% | -76.5% | 0.47 | 0.14 | 25.2x | 239 | 41% |
| ADX / DI 방향성 period=29, threshold=18 |
9.5% | -59.1% | 0.46 | 0.16 | 19.2x | 160 | 26% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=1.8 |
9.2% | -73.6% | 0.44 | 0.13 | 17.7x | 183 | 37% |
| Parabolic SAR step=0.005, maxStep=0.18 |
9.1% | -63.5% | 0.42 | 0.14 | 17.2x | 263 | 50% |
| MACD fast=11, slow=46, signal=19 |
6.2% | -83.3% | 0.35 | 0.07 | 7.1x | 429 | 52% |
| Buy and hold | 13.2% | -81.7% | 0.50 | 0.16 | 56.1x | 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 47-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 47-day average falls below the 160-day average