Trend-Following Backtester · Guide · backtest 한국어
equity · CN
WuXi AppTec Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of WuXi AppTec Co., Ltd. Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 26.0%, MDD -33.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 31.7%, drawdown -78.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 27.9%, MDD -45.1%, Sharpe 0.93, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 33.0%p (CAGR 26.0%, MDD -33.3%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=35, slow=180 |
27.9% | -45.1% | 0.93 | 0.62 | 7.6x | 5 | 59% |
| Donchian 채널 돌파 entryN=123, exitN=62 |
24.5% | -34.0% | 0.90 | 0.72 | 6.1x | 5 | 47% |
| SMA 크로스오버 fast=45, slow=187 |
26.0% | -33.3% | 0.89 | 0.78 | 6.7x | 9 | 58% |
| ROC 모멘텀 n=110, threshold=-0.09 |
25.7% | -67.2% | 0.84 | 0.38 | 6.6x | 39 | 68% |
| Parabolic SAR step=0.015, maxStep=0.38 |
22.3% | -56.7% | 0.77 | 0.39 | 5.3x | 145 | 53% |
| Supertrend period=1, mult=4.9 |
23.0% | -73.4% | 0.76 | 0.31 | 5.5x | 51 | 62% |
| MACD fast=11, slow=51, signal=10 |
15.5% | -45.8% | 0.62 | 0.34 | 3.3x | 116 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.6 |
13.0% | -29.6% | 0.60 | 0.44 | 2.7x | 33 | 37% |
| ADX / DI 방향성 period=37, threshold=11 |
12.0% | -40.6% | 0.53 | 0.30 | 2.5x | 51 | 51% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
9.0% | -35.1% | 0.47 | 0.26 | 2.0x | 35 | 35% |
| Buy and hold | 31.7% | -78.1% | 0.84 | 0.41 | 9.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 180-day EMA
- Sell — Sell when the 35-day EMA falls below the 180-day EMA