Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anhui GreatWall Military Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anhui GreatWall Military Industry Co., Ltd. Class A. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.0%, MDD -38.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.3%, drawdown -65.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.5%, MDD -43.0%, Sharpe 0.73, 41% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 15.0%, MDD -38.8%, exposure 11%).
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=49, slow=85 |
21.5% | -43.0% | 0.73 | 0.50 | 4.7x | 22 | 41% |
| ADX / DI 방향성 period=21, threshold=29 |
16.2% | -42.1% | 0.70 | 0.38 | 3.3x | 14 | 15% |
| Donchian 채널 돌파 entryN=118, exitN=11 |
15.0% | -38.8% | 0.69 | 0.39 | 3.0x | 14 | 11% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=29, mult=3.4 |
12.9% | -45.8% | 0.63 | 0.28 | 2.6x | 19 | 9% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
13.2% | -41.0% | 0.58 | 0.32 | 2.7x | 18 | 19% |
| ROC 모멘텀 n=78, threshold=-0.03 |
14.7% | -62.2% | 0.56 | 0.24 | 3.0x | 84 | 49% |
| Supertrend period=29, mult=4.5 |
10.2% | -72.1% | 0.45 | 0.14 | 2.2x | 29 | 42% |
| EMA 크로스오버 fast=51, slow=107 |
9.6% | -58.1% | 0.44 | 0.16 | 2.1x | 12 | 44% |
| Parabolic SAR step=0.015, maxStep=0.08 |
6.3% | -54.5% | 0.35 | 0.12 | 1.6x | 117 | 43% |
| MACD fast=12, slow=57, signal=12 |
4.4% | -70.3% | 0.31 | 0.06 | 1.4x | 113 | 48% |
| Buy and hold | 6.3% | -65.2% | 0.38 | 0.10 | 1.6x | 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 49-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 49-day average falls below the 85-day average