Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sinopec Oilfield Service Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Sinopec Oilfield Service Corporation Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -62.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.1%, drawdown -88.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -68.4%, Sharpe 0.35, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 2.7%, MDD -62.9%, exposure 11%).
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=44, slow=181 |
6.2% | -68.4% | 0.35 | 0.09 | 6.6x | 50 | 43% |
| Donchian 채널 돌파 entryN=96, exitN=62 |
3.4% | -76.7% | 0.27 | 0.04 | 2.9x | 44 | 40% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=5, mult=3 |
3.2% | -65.1% | 0.26 | 0.05 | 2.7x | 68 | 21% |
| MACD fast=16, slow=39, signal=9 |
3.0% | -82.1% | 0.25 | 0.04 | 2.5x | 435 | 51% |
| 볼린저 밴드 돌파 n=69, k=1 |
2.9% | -81.9% | 0.25 | 0.04 | 2.5x | 158 | 37% |
| Supertrend period=13, mult=2.6 |
2.6% | -81.3% | 0.24 | 0.03 | 2.3x | 249 | 45% |
| EMA 크로스오버 fast=10, slow=138 |
2.5% | -86.9% | 0.24 | 0.03 | 2.2x | 106 | 42% |
| ADX / DI 방향성 period=18, threshold=33 |
2.7% | -62.9% | 0.24 | 0.04 | 2.3x | 72 | 11% |
| ROC 모멘텀 n=98, threshold=0.06 |
1.2% | -84.3% | 0.19 | 0.01 | 1.5x | 270 | 36% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.3% | -90.8% | 0.17 | 0.00 | 1.1x | 219 | 46% |
| Buy and hold | -0.1% | -88.4% | 0.22 | -0.00 | 1.0x | 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 44-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 44-day average falls below the 181-day average