Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Moons Electrical Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Moons Electrical Co. Ltd. Class A. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.5%, MDD -31.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.3%, drawdown -62.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -17.9%, Sharpe 0.83, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.0%, MDD -56.5%, exposure 90%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 44.1%p (CAGR 17.5%, MDD -31.2%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=1, threshold=0.08 |
12.9% | -17.9% | 0.83 | 0.72 | 3.1x | 122 | 3% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
17.5% | -31.2% | 0.80 | 0.56 | 4.6x | 14 | 11% |
| Supertrend period=25, mult=2.2 |
21.3% | -50.0% | 0.71 | 0.43 | 6.1x | 89 | 44% |
| Donchian 채널 돌파 entryN=1, exitN=36 |
24.0% | -56.5% | 0.69 | 0.42 | 7.5x | 71 | 90% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=2.7 |
10.3% | -22.4% | 0.57 | 0.46 | 2.5x | 24 | 6% |
| MACD fast=10, slow=26, signal=10 |
14.2% | -46.5% | 0.54 | 0.30 | 3.5x | 167 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
11.9% | -74.5% | 0.49 | 0.16 | 2.9x | 128 | 46% |
| SMA 크로스오버 fast=23, slow=178 |
8.7% | -47.9% | 0.41 | 0.18 | 2.2x | 16 | 48% |
| ADX / DI 방향성 period=12, threshold=31 |
7.5% | -41.5% | 0.40 | 0.18 | 2.0x | 54 | 19% |
| EMA 크로스오버 fast=54, slow=119 |
2.6% | -56.7% | 0.26 | 0.05 | 1.3x | 18 | 51% |
| Buy and hold | 16.3% | -62.0% | 0.56 | 0.26 | 4.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than 8%
- Sell — Sell when the 1-day return drops to 8% or below