Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shandong Sunpaper Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shandong Sunpaper Co., Ltd. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.6%, MDD -53.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.0%, drawdown -81.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -60.9%, Sharpe 0.48, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 9.6%, MDD -53.0%, exposure 52%).
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=40, slow=126 |
10.3% | -60.9% | 0.48 | 0.17 | 7.0x | 37 | 58% |
| Supertrend period=10, mult=2.8 |
9.6% | -53.0% | 0.46 | 0.18 | 6.1x | 128 | 52% |
| EMA 크로스오버 fast=51, slow=165 |
9.5% | -59.8% | 0.46 | 0.16 | 6.1x | 22 | 55% |
| Donchian 채널 돌파 entryN=17, exitN=76 |
9.7% | -73.3% | 0.44 | 0.13 | 6.3x | 47 | 80% |
| 볼린저 밴드 돌파 n=44, k=0.7 |
6.7% | -65.4% | 0.38 | 0.10 | 3.6x | 164 | 46% |
| ROC 모멘텀 n=57, threshold=-0.04 |
5.9% | -70.4% | 0.35 | 0.08 | 3.2x | 213 | 65% |
| ADX / DI 방향성 period=37, threshold=25 |
3.5% | -36.8% | 0.34 | 0.10 | 2.0x | 14 | 8% |
| MACD fast=28, slow=73, signal=23 |
5.2% | -59.6% | 0.32 | 0.09 | 2.7x | 138 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=1.4 |
2.6% | -62.3% | 0.23 | 0.04 | 1.7x | 132 | 42% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.6% | -75.3% | 0.20 | 0.02 | 1.4x | 152 | 48% |
| Buy and hold | 8.0% | -81.9% | 0.40 | 0.10 | 4.6x | 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 40-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 40-day average falls below the 126-day average