Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Huafeng Test & Control Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Huafeng Test & Control Technology Co. Ltd. Class A. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 31.8%, MDD -41.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.9%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.8%, MDD -41.4%, Sharpe 0.87, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 31.8%, MDD -41.4%, 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=30, slow=183 |
31.8% | -41.4% | 0.87 | 0.77 | 5.9x | 9 | 53% |
| Parabolic SAR step=0.03, maxStep=0.3 |
30.5% | -44.9% | 0.85 | 0.68 | 5.6x | 176 | 48% |
| EMA 크로스오버 fast=99, slow=158 |
30.0% | -49.1% | 0.84 | 0.61 | 5.4x | 5 | 50% |
| ROC 모멘텀 n=148, threshold=0.06 |
29.1% | -50.2% | 0.80 | 0.58 | 5.2x | 47 | 51% |
| Donchian 채널 돌파 entryN=106, exitN=92 |
24.7% | -56.6% | 0.74 | 0.44 | 4.1x | 5 | 46% |
| ADX / DI 방향성 period=41, threshold=19 |
16.0% | -38.1% | 0.61 | 0.42 | 2.6x | 9 | 23% |
| MACD fast=3, slow=27, signal=8 |
18.0% | -56.0% | 0.61 | 0.32 | 2.9x | 216 | 49% |
| Supertrend period=8, mult=3.8 |
15.3% | -73.1% | 0.54 | 0.21 | 2.5x | 24 | 73% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
11.5% | -63.7% | 0.48 | 0.18 | 2.0x | 30 | 31% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=3.1 |
11.5% | -39.8% | 0.48 | 0.29 | 2.0x | 18 | 28% |
| Buy and hold | 20.9% | -75.5% | 0.62 | 0.28 | 3.4x | 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 30-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 30-day average falls below the 183-day average