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 14.7%, drawdown -65.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.1%, MDD -55.4%, Sharpe 0.52, 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 |
11.1% | -55.4% | 0.52 | 0.20 | 22.7x | 89 | 56% |
| Donchian 채널 돌파 entryN=44, exitN=45 |
10.6% | -68.4% | 0.51 | 0.15 | 20.0x | 67 | 53% |
| SMA 크로스오버 fast=15, slow=116 |
10.3% | -61.0% | 0.49 | 0.17 | 18.4x | 105 | 55% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=16, mult=3.6 |
8.2% | -51.4% | 0.46 | 0.16 | 10.4x | 68 | 29% |
| Supertrend period=22, mult=4.7 |
8.2% | -77.8% | 0.43 | 0.11 | 10.5x | 101 | 51% |
| ADX / DI 방향성 period=49, threshold=17 |
6.3% | -38.9% | 0.42 | 0.16 | 6.2x | 42 | 19% |
| ROC 모멘텀 n=100, threshold=-0.04 |
8.2% | -75.9% | 0.42 | 0.11 | 10.6x | 277 | 65% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
5.1% | -67.7% | 0.34 | 0.08 | 4.4x | 116 | 27% |
| MACD fast=13, slow=24, signal=14 |
3.5% | -69.4% | 0.26 | 0.05 | 2.8x | 454 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-0.6% | -71.5% | 0.11 | -0.01 | 0.8x | 494 | 51% |
| Buy and hold | 14.7% | -65.3% | 0.57 | 0.23 | 60.1x | 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