Trend-Following Backtester · Guide · backtest 한국어
equity · CN
XJ Electric Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of XJ Electric 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 EMA 크로스오버 (CAGR 9.9%, MDD -61.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -84.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -62.3%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 9.9%, MDD -61.2%, 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=60, slow=160 |
13.4% | -62.3% | 0.54 | 0.21 | 40.4x | 42 | 55% |
| Donchian 채널 돌파 entryN=12, exitN=44 |
12.9% | -71.8% | 0.51 | 0.18 | 35.4x | 107 | 75% |
| Supertrend period=21, mult=5 |
10.3% | -65.1% | 0.46 | 0.16 | 17.8x | 69 | 61% |
| EMA 크로스오버 fast=16, slow=45 |
9.9% | -61.2% | 0.45 | 0.16 | 16.0x | 136 | 53% |
| ROC 모멘텀 n=143, threshold=-0.06 |
9.2% | -71.5% | 0.43 | 0.13 | 13.5x | 224 | 61% |
| 볼린저 밴드 돌파 n=51, k=1 |
6.2% | -59.1% | 0.35 | 0.10 | 5.8x | 182 | 43% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.9% | -66.6% | 0.31 | 0.07 | 4.1x | 228 | 49% |
| MACD fast=16, slow=48, signal=17 |
4.7% | -64.4% | 0.31 | 0.07 | 3.9x | 308 | 48% |
| ADX / DI 방향성 period=38, threshold=21 |
4.1% | -39.8% | 0.30 | 0.10 | 3.3x | 50 | 15% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=2.6 |
3.4% | -57.1% | 0.26 | 0.06 | 2.6x | 114 | 29% |
| Buy and hold | 6.8% | -84.5% | 0.37 | 0.08 | 6.9x | 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 60-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 60-day average falls below the 160-day average