Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huaibei Mining Holdings Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huaibei Mining Holdings Co., Ltd. Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -57.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -75.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -57.9%, Sharpe 0.37, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 6.8%, MDD -57.9%, exposure 49%).
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=43, slow=202 |
6.8% | -57.9% | 0.37 | 0.12 | 4.3x | 27 | 49% |
| Donchian 채널 돌파 entryN=77, exitN=93 |
5.5% | -67.1% | 0.33 | 0.08 | 3.3x | 27 | 54% |
| EMA 크로스오버 fast=30, slow=142 |
4.3% | -67.5% | 0.30 | 0.06 | 2.6x | 37 | 49% |
| Supertrend period=9, mult=4 |
3.4% | -67.3% | 0.27 | 0.05 | 2.1x | 93 | 53% |
| MACD fast=17, slow=39, signal=12 |
2.8% | -70.2% | 0.25 | 0.04 | 1.9x | 283 | 55% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
1.9% | -59.5% | 0.20 | 0.03 | 1.5x | 72 | 29% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=2.9 |
1.8% | -56.4% | 0.19 | 0.03 | 1.5x | 60 | 14% |
| ADX / DI 방향성 period=30, threshold=27 |
1.2% | -44.5% | 0.16 | 0.03 | 1.3x | 26 | 8% |
| ROC 모멘텀 n=105, threshold=0.06 |
-0.7% | -85.2% | 0.14 | -0.01 | 0.9x | 207 | 41% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-5.0% | -90.0% | -0.00 | -0.06 | 0.3x | 291 | 48% |
| Buy and hold | 6.6% | -75.1% | 0.37 | 0.09 | 4.2x | 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 43-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 43-day average falls below the 202-day average