Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tianshui Huatian Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tianshui Huatian Technology Co., Ltd. Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.7%, MDD -61.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.6%, drawdown -78.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -61.6%, Sharpe 0.57, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 14.7%, MDD -61.6%, exposure 56%).
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=37, slow=159 |
14.7% | -61.6% | 0.57 | 0.24 | 13.1x | 31 | 56% |
| ADX / DI 방향성 period=50, threshold=8 |
13.8% | -71.1% | 0.55 | 0.19 | 11.4x | 126 | 54% |
| Donchian 채널 돌파 entryN=41, exitN=76 |
13.4% | -68.4% | 0.53 | 0.20 | 10.5x | 31 | 64% |
| EMA 크로스오버 fast=39, slow=144 |
10.9% | -74.7% | 0.47 | 0.15 | 7.0x | 31 | 55% |
| ROC 모멘텀 n=109, threshold=-0.03 |
10.6% | -74.3% | 0.46 | 0.14 | 6.7x | 173 | 59% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=0.8 |
9.2% | -58.3% | 0.44 | 0.16 | 5.2x | 168 | 44% |
| Parabolic SAR step=0.015, maxStep=0.18 |
9.1% | -61.5% | 0.43 | 0.15 | 5.1x | 306 | 49% |
| Supertrend period=19, mult=2.3 |
9.1% | -57.3% | 0.43 | 0.16 | 5.1x | 182 | 48% |
| 볼린저 밴드 돌파 n=37, k=1.7 |
7.2% | -53.0% | 0.39 | 0.14 | 3.7x | 110 | 34% |
| MACD fast=13, slow=49, signal=14 |
7.1% | -55.5% | 0.38 | 0.13 | 3.7x | 232 | 49% |
| Buy and hold | 11.6% | -78.9% | 0.48 | 0.15 | 7.8x | 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 37-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 37-day average falls below the 159-day average