Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Aluminium Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Aluminium Co. Ltd. Class A. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.3%, MDD -55.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.1%, drawdown -88.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.5%, MDD -65.0%, Sharpe 0.58, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 14.3%, MDD -55.2%, exposure 39%).
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=9, slow=102 |
15.5% | -65.0% | 0.58 | 0.24 | 60.4x | 100 | 48% |
| 볼린저 밴드 돌파 n=18, k=1.1 |
14.3% | -55.2% | 0.58 | 0.26 | 44.0x | 402 | 39% |
| EMA 크로스오버 fast=4, slow=37 |
14.2% | -64.8% | 0.55 | 0.22 | 43.0x | 267 | 48% |
| ROC 모멘텀 n=42, threshold=0.12 |
12.5% | -57.9% | 0.55 | 0.22 | 28.7x | 279 | 27% |
| Donchian 채널 돌파 entryN=33, exitN=71 |
14.2% | -78.5% | 0.54 | 0.18 | 43.6x | 61 | 66% |
| Supertrend period=22, mult=1.7 |
12.4% | -60.6% | 0.52 | 0.21 | 28.0x | 384 | 46% |
| Parabolic SAR step=0.035, maxStep=0.04 |
11.7% | -61.1% | 0.50 | 0.19 | 23.4x | 308 | 47% |
| ADX / DI 방향성 period=28, threshold=7 |
11.9% | -77.5% | 0.49 | 0.15 | 24.3x | 347 | 57% |
| MACD fast=21, slow=39, signal=11 |
11.4% | -60.6% | 0.49 | 0.19 | 21.5x | 347 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.2 |
7.7% | -68.4% | 0.41 | 0.11 | 8.3x | 86 | 24% |
| Buy and hold | 10.1% | -88.0% | 0.44 | 0.12 | 15.5x | 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 9-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 9-day average falls below the 102-day average