Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningbo Orient Wires & Cables Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Ningbo Orient Wires & Cables Co 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 18.3%, MDD -43.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.8%, drawdown -75.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.3%, MDD -43.8%, Sharpe 0.67, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 18.3%, MDD -43.8%, exposure 56%).
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=19, slow=203 |
18.3% | -43.8% | 0.67 | 0.42 | 7.2x | 14 | 56% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=22, mult=3.9 |
13.4% | -48.7% | 0.66 | 0.27 | 4.4x | 14 | 14% |
| EMA 크로스오버 fast=34, slow=82 |
16.4% | -68.6% | 0.60 | 0.24 | 6.0x | 24 | 58% |
| MACD fast=17, slow=38, signal=16 |
15.5% | -62.5% | 0.60 | 0.25 | 5.5x | 130 | 52% |
| ROC 모멘텀 n=144, threshold=-0.02 |
16.0% | -52.4% | 0.59 | 0.30 | 5.7x | 62 | 62% |
| Donchian 채널 돌파 entryN=21, exitN=96 |
16.5% | -77.1% | 0.58 | 0.21 | 6.1x | 18 | 83% |
| Supertrend period=21, mult=3.6 |
13.2% | -57.4% | 0.54 | 0.23 | 4.3x | 52 | 52% |
| ADX / DI 방향성 period=13, threshold=31 |
9.0% | -63.8% | 0.48 | 0.14 | 2.8x | 64 | 20% |
| Parabolic SAR step=0.005, maxStep=0.18 |
10.2% | -64.3% | 0.46 | 0.16 | 3.1x | 92 | 50% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
8.9% | -71.9% | 0.43 | 0.12 | 2.7x | 82 | 40% |
| Buy and hold | 15.8% | -75.1% | 0.56 | 0.21 | 5.6x | 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 19-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 19-day average falls below the 203-day average