Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Hengli Hydraulic Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Hengli Hydraulic Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.6%, MDD -50.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.1%, drawdown -68.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.6%, MDD -59.7%, Sharpe 0.75, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 8.8%p (CAGR 19.6%, MDD -50.8%, exposure 60%).
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=10, slow=198 |
21.6% | -59.7% | 0.75 | 0.36 | 18.1x | 26 | 60% |
| EMA 크로스오버 fast=35, slow=112 |
19.6% | -50.8% | 0.71 | 0.39 | 14.3x | 28 | 60% |
| ADX / DI 방향성 period=24, threshold=17 |
14.6% | -32.5% | 0.64 | 0.45 | 7.5x | 90 | 39% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
17.8% | -73.5% | 0.62 | 0.24 | 11.4x | 34 | 87% |
| Supertrend period=16, mult=3.8 |
15.1% | -44.8% | 0.61 | 0.34 | 8.1x | 58 | 57% |
| 볼린저 밴드 돌파 n=36, k=2.2 |
12.5% | -33.1% | 0.59 | 0.38 | 5.7x | 76 | 34% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=31, mult=2.2 |
11.1% | -36.7% | 0.58 | 0.30 | 4.8x | 68 | 25% |
| ROC 모멘텀 n=28, threshold=-0.02 |
11.2% | -65.8% | 0.49 | 0.17 | 4.9x | 292 | 62% |
| Parabolic SAR step=0.005, maxStep=0.24 |
10.2% | -53.0% | 0.48 | 0.19 | 4.2x | 124 | 53% |
| MACD fast=18, slow=53, signal=18 |
7.5% | -60.8% | 0.40 | 0.12 | 2.9x | 146 | 50% |
| Buy and hold | 19.1% | -68.5% | 0.63 | 0.28 | 13.3x | 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 10-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 10-day average falls below the 198-day average