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. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -59.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.3%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.3%, MDD -60.1%, Sharpe 0.71, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 13.9%, MDD -59.5%, exposure 36%).
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 |
21.3% | -60.1% | 0.71 | 0.35 | 19.0x | 15 | 47% |
| EMA 크로스오버 fast=34, slow=196 |
16.7% | -61.9% | 0.63 | 0.27 | 10.6x | 17 | 42% |
| Donchian 채널 돌파 entryN=136, exitN=74 |
13.9% | -59.5% | 0.58 | 0.23 | 7.3x | 10 | 36% |
| ROC 모멘텀 n=141, threshold=0.02 |
13.5% | -63.7% | 0.53 | 0.21 | 7.0x | 115 | 47% |
| Supertrend period=11, mult=4 |
13.3% | -65.9% | 0.52 | 0.20 | 6.7x | 55 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=2.7 |
9.5% | -51.1% | 0.46 | 0.19 | 4.0x | 44 | 25% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.8% | -67.8% | 0.39 | 0.11 | 3.1x | 119 | 51% |
| ADX / DI 방향성 period=35, threshold=20 |
6.5% | -45.3% | 0.38 | 0.14 | 2.6x | 36 | 20% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
6.5% | -65.5% | 0.36 | 0.10 | 2.6x | 54 | 28% |
| MACD fast=21, slow=42, signal=21 |
5.5% | -65.2% | 0.33 | 0.08 | 2.3x | 141 | 51% |
| Buy and hold | 12.3% | -80.4% | 0.49 | 0.15 | 5.9x | 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