Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Midea Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Midea Group Co. Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.0%, MDD -37.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.2%, drawdown -62.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.0%, MDD -37.6%, Sharpe 0.69, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 24.9%p (CAGR 15.0%, MDD -37.6%, exposure 64%).
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=21, slow=167 |
15.0% | -37.6% | 0.69 | 0.40 | 6.0x | 25 | 64% |
| EMA 크로스오버 fast=58, slow=183 |
14.6% | -41.4% | 0.66 | 0.35 | 5.8x | 11 | 67% |
| ROC 모멘텀 n=152, threshold=-0.03 |
12.8% | -45.2% | 0.60 | 0.28 | 4.7x | 59 | 70% |
| Donchian 채널 돌파 entryN=77, exitN=78 |
11.6% | -52.8% | 0.59 | 0.22 | 4.1x | 19 | 55% |
| ADX / DI 방향성 period=34, threshold=16 |
8.7% | -36.9% | 0.54 | 0.24 | 2.9x | 50 | 36% |
| Supertrend period=9, mult=5 |
10.6% | -54.3% | 0.52 | 0.20 | 3.7x | 31 | 72% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=3 |
6.6% | -33.0% | 0.44 | 0.20 | 2.3x | 39 | 31% |
| MACD fast=17, slow=42, signal=34 |
6.7% | -43.1% | 0.41 | 0.16 | 2.3x | 117 | 50% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
4.5% | -44.9% | 0.32 | 0.10 | 1.8x | 73 | 44% |
| Parabolic SAR step=0.015, maxStep=0.08 |
1.3% | -62.4% | 0.17 | 0.02 | 1.2x | 195 | 53% |
| Buy and hold | 17.2% | -62.5% | 0.66 | 0.28 | 7.7x | 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 21-day average price crosses above the 167-day average
- Sell — Sell (to cash) when the 21-day average falls below the 167-day average