Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hengyi Petrochemical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hengyi Petrochemical Co., Ltd. Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.9%, MDD -41.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.0%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.7%, MDD -65.2%, Sharpe 0.73, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 7.9%, MDD -41.0%, exposure 10%).
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=116, slow=248 |
19.7% | -65.2% | 0.73 | 0.30 | 200.4x | 23 | 43% |
| ROC 모멘텀 n=140, threshold=0.2 |
14.0% | -63.3% | 0.61 | 0.22 | 47.5x | 145 | 28% |
| 볼린저 밴드 돌파 n=44, k=3.4 |
7.9% | -41.0% | 0.57 | 0.19 | 9.5x | 28 | 10% |
| EMA 크로스오버 fast=21, slow=165 |
12.1% | -79.0% | 0.52 | 0.15 | 28.6x | 57 | 44% |
| ADX / DI 방향성 period=36, threshold=16 |
9.7% | -61.8% | 0.48 | 0.16 | 15.2x | 129 | 29% |
| Supertrend period=8, mult=4.6 |
10.0% | -81.5% | 0.45 | 0.12 | 16.6x | 95 | 59% |
| Donchian 채널 돌파 entryN=92, exitN=58 |
8.9% | -69.4% | 0.44 | 0.13 | 12.2x | 41 | 39% |
| Parabolic SAR step=0.01, maxStep=0.34 |
7.2% | -77.4% | 0.38 | 0.09 | 7.8x | 359 | 49% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=3.9 |
5.2% | -73.6% | 0.38 | 0.07 | 4.5x | 48 | 11% |
| MACD fast=15, slow=59, signal=14 |
4.1% | -72.8% | 0.29 | 0.06 | 3.3x | 359 | 51% |
| Buy and hold | 8.0% | -87.1% | 0.40 | 0.09 | 9.6x | 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 116-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 116-day average falls below the 248-day average