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 6.9%, MDD -57.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -75.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -57.9%, Sharpe 0.37, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 6.9%, MDD -57.9%, exposure 50%).
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=46, slow=178 |
6.9% | -57.9% | 0.37 | 0.12 | 4.5x | 29 | 50% |
| Donchian 채널 돌파 entryN=70, exitN=90 |
6.8% | -66.0% | 0.37 | 0.10 | 4.4x | 27 | 56% |
| ADX / DI 방향성 period=18, threshold=54 |
1.1% | -9.9% | 0.33 | 0.11 | 1.3x | 2 | 1% |
| EMA 크로스오버 fast=31, slow=142 |
5.0% | -67.6% | 0.32 | 0.07 | 3.0x | 35 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=5, mult=3.7 |
3.1% | -31.5% | 0.31 | 0.10 | 2.0x | 16 | 7% |
| MACD fast=13, slow=44, signal=14 |
4.0% | -68.6% | 0.29 | 0.06 | 2.4x | 286 | 55% |
| Supertrend period=9, mult=4 |
3.6% | -67.3% | 0.28 | 0.05 | 2.2x | 93 | 53% |
| 볼린저 밴드 돌파 n=55, k=1 |
2.0% | -61.6% | 0.22 | 0.03 | 1.6x | 140 | 42% |
| ROC 모멘텀 n=138, threshold=-0.01 |
-0.3% | -79.7% | 0.16 | -0.00 | 0.9x | 187 | 53% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-4.4% | -90.0% | 0.02 | -0.05 | 0.4x | 292 | 48% |
| Buy and hold | 6.8% | -75.1% | 0.38 | 0.09 | 4.4x | 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 46-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 46-day average falls below the 178-day average