Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anhui Yingliu Electromechanical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anhui Yingliu Electromechanical 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 SMA 크로스오버 (CAGR 22.5%, MDD -38.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.4%, drawdown -78.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.5%, MDD -38.5%, Sharpe 0.74, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 22.5%, MDD -38.5%, exposure 53%).
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=6, slow=58 |
22.5% | -38.5% | 0.74 | 0.59 | 12.7x | 58 | 53% |
| Supertrend period=20, mult=4.8 |
22.5% | -52.2% | 0.73 | 0.43 | 12.7x | 32 | 58% |
| EMA 크로스오버 fast=21, slow=22 |
21.7% | -52.5% | 0.72 | 0.41 | 11.7x | 64 | 54% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
18.5% | -54.7% | 0.67 | 0.34 | 8.4x | 66 | 45% |
| MACD fast=24, slow=58, signal=18 |
18.3% | -48.6% | 0.66 | 0.38 | 8.2x | 94 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
17.9% | -49.8% | 0.64 | 0.36 | 7.9x | 188 | 49% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=1 |
15.3% | -42.7% | 0.61 | 0.36 | 5.9x | 130 | 39% |
| Donchian 채널 돌파 entryN=24, exitN=24 |
16.4% | -56.8% | 0.60 | 0.29 | 6.7x | 50 | 55% |
| ROC 모멘텀 n=43, threshold=-0.03 |
13.8% | -62.5% | 0.54 | 0.22 | 5.0x | 148 | 60% |
| ADX / DI 방향성 period=26, threshold=14 |
12.2% | -68.6% | 0.50 | 0.18 | 4.2x | 112 | 46% |
| Buy and hold | 14.4% | -78.6% | 0.53 | 0.18 | 5.4x | 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 6-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 6-day average falls below the 58-day average