Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anjoy Foods Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anjoy Foods Group Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.0%, MDD -42.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.1%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.0%, MDD -42.4%, Sharpe 0.81, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 22.0%, MDD -42.4%, exposure 51%).
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=59, slow=183 |
22.0% | -42.4% | 0.81 | 0.52 | 6.7x | 10 | 51% |
| EMA 크로스오버 fast=41, slow=230 |
21.0% | -43.7% | 0.79 | 0.48 | 6.3x | 6 | 48% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
9.2% | -25.7% | 0.68 | 0.36 | 2.3x | 6 | 9% |
| Donchian 채널 돌파 entryN=119, exitN=51 |
15.0% | -45.3% | 0.67 | 0.33 | 3.8x | 8 | 37% |
| ROC 모멘텀 n=165, threshold=-0.03 |
16.4% | -58.7% | 0.64 | 0.28 | 4.3x | 56 | 58% |
| Supertrend period=22, mult=4.9 |
16.3% | -45.5% | 0.64 | 0.36 | 4.3x | 18 | 59% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=20, mult=2.6 |
9.2% | -33.8% | 0.52 | 0.27 | 2.3x | 30 | 24% |
| ADX / DI 방향성 period=33, threshold=32 |
4.4% | -21.5% | 0.46 | 0.20 | 1.5x | 8 | 6% |
| Parabolic SAR step=0.02, maxStep=0.14 |
5.8% | -70.6% | 0.34 | 0.08 | 1.7x | 183 | 50% |
| MACD fast=8, slow=22, signal=9 |
-5.0% | -67.2% | -0.01 | -0.07 | 0.6x | 213 | 49% |
| Buy and hold | 18.1% | -75.5% | 0.61 | 0.24 | 4.9x | 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 59-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 59-day average falls below the 183-day average