Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Dongguan Dingtong Precision Metal Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Dongguan Dingtong Precision Metal 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 60.3%, MDD -50.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 44.8%, drawdown -73.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 60.3%, MDD -50.2%, Sharpe 1.14, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 60.3%, MDD -50.2%, exposure 50%).
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=11, slow=29 |
60.3% | -50.2% | 1.14 | 1.20 | 14.7x | 51 | 50% |
| MACD fast=24, slow=39, signal=31 |
48.1% | -57.0% | 0.98 | 0.85 | 9.4x | 40 | 53% |
| Supertrend period=29, mult=3.8 |
42.2% | -69.8% | 0.96 | 0.60 | 7.4x | 27 | 44% |
| EMA 크로스오버 fast=10, slow=35 |
37.4% | -74.1% | 0.85 | 0.50 | 6.1x | 36 | 52% |
| Donchian 채널 돌파 entryN=16, exitN=17 |
36.2% | -67.0% | 0.83 | 0.54 | 5.8x | 33 | 55% |
| Parabolic SAR step=0.005, maxStep=0.28 |
33.1% | -68.7% | 0.80 | 0.48 | 5.1x | 45 | 49% |
| ROC 모멘텀 n=18, threshold=0.09 |
30.6% | -41.4% | 0.79 | 0.74 | 4.6x | 103 | 34% |
| ADX / DI 방향성 period=35, threshold=17 |
28.9% | -53.2% | 0.78 | 0.54 | 4.2x | 23 | 37% |
| 볼린저 밴드 돌파 n=41, k=2.2 |
27.8% | -59.7% | 0.76 | 0.47 | 4.0x | 26 | 33% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=2.1 |
26.3% | -68.0% | 0.72 | 0.39 | 3.8x | 26 | 40% |
| Buy and hold | 44.8% | -73.5% | 0.88 | 0.61 | 8.2x | 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 11-day average price crosses above the 29-day average
- Sell — Sell (to cash) when the 11-day average falls below the 29-day average