Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sichuan EM Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sichuan EM Technology Co. Ltd. Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.5%, MDD -51.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.4%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.1%, MDD -60.1%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 9.5%, MDD -51.1%, exposure 25%).
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=65, slow=155 |
18.1% | -60.1% | 0.64 | 0.30 | 12.5x | 15 | 47% |
| Donchian 채널 돌파 entryN=136, exitN=74 |
14.5% | -58.3% | 0.59 | 0.25 | 7.8x | 9 | 36% |
| EMA 크로스오버 fast=34, slow=196 |
13.6% | -61.9% | 0.56 | 0.22 | 7.0x | 17 | 42% |
| Supertrend period=11, mult=4 |
13.3% | -65.9% | 0.52 | 0.20 | 6.6x | 54 | 60% |
| ROC 모멘텀 n=141, threshold=0.02 |
10.5% | -63.7% | 0.46 | 0.17 | 4.6x | 115 | 46% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=2.7 |
9.5% | -51.1% | 0.46 | 0.19 | 4.0x | 44 | 25% |
| ADX / DI 방향성 period=35, threshold=20 |
7.3% | -39.7% | 0.41 | 0.18 | 2.9x | 34 | 21% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.9% | -67.8% | 0.37 | 0.10 | 2.7x | 118 | 51% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
6.5% | -65.5% | 0.36 | 0.10 | 2.6x | 54 | 29% |
| MACD fast=21, slow=42, signal=21 |
5.2% | -65.2% | 0.32 | 0.08 | 2.2x | 140 | 51% |
| Buy and hold | 9.4% | -80.4% | 0.43 | 0.12 | 3.9x | 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 65-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 65-day average falls below the 155-day average