Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhuzhou CRRC Times Electric Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhuzhou CRRC Times Electric Co., Ltd. Class A. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -19.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.0%, drawdown -63.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -27.0%, Sharpe 0.58, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.6%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 2.0%, MDD -19.1%, exposure 10%).
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=102 |
13.6% | -27.0% | 0.58 | 0.50 | 1.9x | 16 | 36% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.0% | -19.1% | 0.22 | 0.10 | 1.1x | 6 | 10% |
| ADX / DI 방향성 period=13, threshold=35 |
1.7% | -21.7% | 0.18 | 0.08 | 1.1x | 14 | 9% |
| Supertrend period=19, mult=3.5 |
0.4% | -48.5% | 0.18 | 0.01 | 1.0x | 24 | 35% |
| Donchian 채널 돌파 entryN=13, exitN=12 |
-2.7% | -65.8% | 0.09 | -0.04 | 0.9x | 36 | 47% |
| EMA 크로스오버 fast=45, slow=256 |
-1.3% | -34.1% | 0.09 | -0.04 | 0.9x | 4 | 32% |
| MACD fast=15, slow=16, signal=12 |
-4.9% | -66.0% | 0.00 | -0.07 | 0.8x | 88 | 49% |
| ROC 모멘텀 n=33, threshold=0.11 |
-3.4% | -45.6% | -0.03 | -0.08 | 0.8x | 42 | 20% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=8, mult=4 |
-1.7% | -23.0% | -0.07 | -0.07 | 0.9x | 6 | 12% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-7.0% | -70.1% | -0.07 | -0.10 | 0.7x | 62 | 46% |
| Buy and hold | -5.0% | -63.5% | 0.13 | -0.08 | 0.8x | 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 102-day average
- Sell — Sell (to cash) when the 72-day average falls below the 102-day average