Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Xinquan Automotive Trim Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Xinquan Automotive Trim Co. Ltd. Class A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 21.7%, drawdown -68.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.2%, MDD -46.1%, Sharpe 0.57, 51% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=109, threshold=0.01 |
15.2% | -46.1% | 0.57 | 0.33 | 3.8x | 92 | 51% |
| SMA 크로스오버 fast=48, slow=111 |
13.1% | -56.9% | 0.52 | 0.23 | 3.2x | 24 | 54% |
| Supertrend period=26, mult=4.5 |
13.2% | -42.9% | 0.52 | 0.31 | 3.2x | 24 | 62% |
| EMA 크로스오버 fast=45, slow=214 |
11.1% | -49.3% | 0.47 | 0.22 | 2.7x | 10 | 59% |
| Parabolic SAR step=0.015, maxStep=0.12 |
8.1% | -42.5% | 0.40 | 0.19 | 2.1x | 168 | 50% |
| Donchian 채널 돌파 entryN=107, exitN=51 |
7.7% | -40.9% | 0.39 | 0.19 | 2.0x | 12 | 45% |
| ADX / DI 방향성 period=31, threshold=12 |
2.7% | -46.8% | 0.26 | 0.06 | 1.3x | 78 | 52% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
2.1% | -42.8% | 0.23 | 0.05 | 1.2x | 70 | 41% |
| MACD fast=15, slow=22, signal=14 |
-1.2% | -52.7% | 0.14 | -0.02 | 0.9x | 140 | 48% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=26, mult=1.1 |
-1.2% | -59.6% | 0.14 | -0.02 | 0.9x | 78 | 43% |
| Buy and hold | 21.7% | -68.8% | 0.65 | 0.32 | 6.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 109-day return is greater than 1%
- Sell — Sell when the 109-day return drops to 1% or below