Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Foshan Haitian Flavouring and Food Company Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Foshan Haitian Flavouring and Food Company Ltd. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.6%, MDD -31.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.2%, drawdown -73.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -31.8%, Sharpe 0.70, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 15.6%, MDD -31.8%, exposure 50%).
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=72, slow=222 |
15.6% | -31.8% | 0.70 | 0.49 | 6.1x | 12 | 50% |
| ROC 모멘텀 n=183, threshold=-0.01 |
15.3% | -46.6% | 0.68 | 0.33 | 6.0x | 68 | 55% |
| Donchian 채널 돌파 entryN=77, exitN=50 |
11.9% | -38.1% | 0.64 | 0.31 | 4.1x | 20 | 41% |
| EMA 크로스오버 fast=58, slow=190 |
14.0% | -47.6% | 0.64 | 0.29 | 5.2x | 10 | 54% |
| ADX / DI 방향성 period=33, threshold=26 |
7.6% | -21.5% | 0.62 | 0.35 | 2.5x | 18 | 14% |
| Supertrend period=29, mult=4.3 |
10.7% | -51.0% | 0.54 | 0.21 | 3.6x | 37 | 60% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=18, mult=2 |
9.5% | -41.0% | 0.54 | 0.23 | 3.1x | 46 | 42% |
| 볼린저 밴드 돌파 n=48, k=1.6 |
7.9% | -36.0% | 0.48 | 0.22 | 2.6x | 60 | 39% |
| MACD fast=32, slow=77, signal=37 |
8.2% | -52.7% | 0.46 | 0.16 | 2.7x | 65 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.8% | -59.7% | 0.32 | 0.08 | 1.8x | 98 | 51% |
| Buy and hold | 11.2% | -73.7% | 0.49 | 0.15 | 3.8x | 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 72-day average price crosses above the 222-day average
- Sell — Sell (to cash) when the 72-day average falls below the 222-day average