Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Moon Environment Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Moon Environment Technology Co., Ltd. Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 10.4%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -67.9%, Sharpe 0.47, 53% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=182 |
11.0% | -67.9% | 0.47 | 0.16 | 18.9x | 41 | 53% |
| EMA 크로스오버 fast=59, slow=146 |
10.6% | -70.0% | 0.46 | 0.15 | 17.2x | 41 | 54% |
| Donchian 채널 돌파 entryN=97, exitN=120 |
10.5% | -72.8% | 0.46 | 0.14 | 16.7x | 25 | 60% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=21, mult=3.3 |
6.6% | -51.5% | 0.38 | 0.13 | 6.0x | 74 | 24% |
| 볼린저 밴드 돌파 n=61, k=3.1 |
6.3% | -53.7% | 0.37 | 0.12 | 5.6x | 50 | 20% |
| Supertrend period=8, mult=3.1 |
6.1% | -77.5% | 0.35 | 0.08 | 5.3x | 180 | 53% |
| Parabolic SAR step=0.015, maxStep=0.1 |
6.1% | -70.3% | 0.35 | 0.09 | 5.3x | 432 | 51% |
| ROC 모멘텀 n=147, threshold=0.07 |
4.0% | -78.5% | 0.29 | 0.05 | 3.1x | 227 | 45% |
| ADX / DI 방향성 period=31, threshold=14 |
2.7% | -75.6% | 0.24 | 0.04 | 2.1x | 222 | 37% |
| MACD fast=12, slow=46, signal=19 |
1.3% | -72.7% | 0.21 | 0.02 | 1.4x | 354 | 52% |
| Buy and hold | 10.4% | -76.7% | 0.45 | 0.14 | 16.4x | 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 56-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 56-day average falls below the 182-day average