Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Gree Electric Appliances, Inc. of Zhuhai Class A backtest
10 trend-following strategies were compared on the full daily history of Gree Electric Appliances, Inc. of Zhuhai Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -65.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.4%, MDD -54.2%, Sharpe 0.53, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=33, slow=68 |
11.4% | -54.2% | 0.53 | 0.21 | 24.7x | 89 | 56% |
| Donchian 채널 돌파 entryN=44, exitN=45 |
10.9% | -68.4% | 0.52 | 0.16 | 21.8x | 67 | 53% |
| SMA 크로스오버 fast=15, slow=116 |
10.6% | -60.1% | 0.50 | 0.18 | 19.9x | 105 | 55% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=16, mult=3.6 |
8.5% | -51.4% | 0.47 | 0.17 | 11.2x | 67 | 29% |
| Supertrend period=22, mult=4.7 |
8.5% | -77.8% | 0.44 | 0.11 | 11.4x | 101 | 50% |
| ROC 모멘텀 n=100, threshold=-0.04 |
8.6% | -75.9% | 0.43 | 0.11 | 11.5x | 277 | 65% |
| ADX / DI 방향성 period=49, threshold=17 |
6.4% | -38.9% | 0.42 | 0.16 | 6.2x | 42 | 19% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
5.4% | -67.7% | 0.35 | 0.08 | 4.8x | 115 | 27% |
| MACD fast=13, slow=24, signal=14 |
4.0% | -69.4% | 0.28 | 0.06 | 3.2x | 451 | 51% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-0.3% | -71.5% | 0.12 | -0.00 | 0.9x | 491 | 51% |
| Buy and hold | 15.1% | -65.3% | 0.57 | 0.23 | 65.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 68-day EMA
- Sell — Sell when the 33-day EMA falls below the 68-day EMA