Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anhui Yingjia Distillery Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anhui Yingjia Distillery Co., Ltd. Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.4%, MDD -24.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -74.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.4%, MDD -24.8%, Sharpe 0.40, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 49.5%p (CAGR 6.4%, MDD -24.8%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=2.6 |
6.4% | -24.8% | 0.40 | 0.26 | 2.0x | 46 | 17% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=18, mult=1.9 |
5.0% | -41.6% | 0.33 | 0.12 | 1.7x | 62 | 18% |
| Parabolic SAR step=0.005, maxStep=0.12 |
5.2% | -75.0% | 0.32 | 0.07 | 1.8x | 84 | 48% |
| ROC 모멘텀 n=6, threshold=0.13 |
3.7% | -34.1% | 0.30 | 0.11 | 1.5x | 96 | 5% |
| Supertrend period=29, mult=2.8 |
4.4% | -55.4% | 0.30 | 0.08 | 1.6x | 76 | 41% |
| EMA 크로스오버 fast=79, slow=202 |
4.1% | -52.8% | 0.29 | 0.08 | 1.6x | 8 | 38% |
| SMA 크로스오버 fast=70, slow=218 |
4.1% | -43.9% | 0.29 | 0.09 | 1.6x | 12 | 38% |
| Donchian 채널 돌파 entryN=19, exitN=75 |
2.6% | -64.9% | 0.26 | 0.04 | 1.3x | 33 | 73% |
| MACD fast=8, slow=46, signal=17 |
-0.1% | -58.9% | 0.16 | -0.00 | 1.0x | 152 | 50% |
| ADX / DI 방향성 period=31, threshold=10 |
-4.0% | -69.2% | 0.05 | -0.06 | 0.6x | 117 | 53% |
| Buy and hold | 7.5% | -74.4% | 0.39 | 0.10 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 20-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 20-day middle average