Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Inner Mongolia MengDian HuaNeng Thermal Power Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Inner Mongolia MengDian HuaNeng Thermal Power Corporation Limited Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -37.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.2%, drawdown -79.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -58.9%, Sharpe 0.42, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 6.2%, MDD -37.3%, exposure 8%).
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=35, slow=104 |
8.6% | -58.9% | 0.42 | 0.15 | 14.5x | 82 | 51% |
| ADX / DI 방향성 period=20, threshold=35 |
6.2% | -37.3% | 0.41 | 0.17 | 7.0x | 40 | 8% |
| Donchian 채널 돌파 entryN=15, exitN=55 |
8.4% | -72.9% | 0.40 | 0.11 | 13.4x | 103 | 76% |
| Supertrend period=4, mult=4.8 |
6.8% | -69.9% | 0.36 | 0.10 | 8.5x | 91 | 60% |
| EMA 크로스오버 fast=45, slow=212 |
6.3% | -68.5% | 0.35 | 0.09 | 7.1x | 42 | 50% |
| ROC 모멘텀 n=105, threshold=-0.09 |
6.2% | -62.3% | 0.35 | 0.10 | 7.1x | 297 | 70% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=25, mult=3.6 |
5.0% | -48.0% | 0.33 | 0.10 | 4.8x | 60 | 12% |
| 볼린저 밴드 돌파 n=24, k=2.4 |
3.6% | -53.8% | 0.27 | 0.07 | 3.1x | 176 | 22% |
| MACD fast=19, slow=36, signal=16 |
1.0% | -75.3% | 0.19 | 0.01 | 1.4x | 385 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.4% | -79.7% | 0.11 | -0.02 | 0.6x | 240 | 48% |
| Buy and hold | 7.2% | -79.1% | 0.38 | 0.09 | 9.4x | 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 35-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 35-day average falls below the 104-day average