Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Joyoung Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Joyoung Company Limited Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.8%, MDD -60.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.5%, drawdown -82.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -65.8%, Sharpe 0.39, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 4.8%, MDD -60.9%, exposure 30%).
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=47, slow=71 |
7.1% | -65.8% | 0.39 | 0.11 | 3.5x | 69 | 46% |
| Donchian 채널 돌파 entryN=104, exitN=56 |
4.8% | -60.9% | 0.31 | 0.08 | 2.3x | 18 | 30% |
| Supertrend period=7, mult=3.9 |
4.8% | -79.0% | 0.29 | 0.06 | 2.4x | 71 | 49% |
| ADX / DI 방향성 period=21, threshold=37 |
1.8% | -19.9% | 0.28 | 0.09 | 1.4x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.6% | -80.5% | 0.21 | 0.02 | 1.3x | 141 | 47% |
| EMA 크로스오버 fast=49, slow=170 |
1.4% | -69.5% | 0.20 | 0.02 | 1.3x | 24 | 37% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=19, mult=2.4 |
1.6% | -32.1% | 0.19 | 0.05 | 1.3x | 31 | 4% |
| ROC 모멘텀 n=116, threshold=-0.02 |
1.0% | -76.6% | 0.19 | 0.01 | 1.2x | 163 | 46% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
1.6% | -44.3% | 0.19 | 0.04 | 1.3x | 19 | 7% |
| MACD fast=15, slow=48, signal=18 |
-1.6% | -79.8% | 0.10 | -0.02 | 0.7x | 199 | 52% |
| Buy and hold | 2.5% | -82.9% | 0.27 | 0.03 | 1.6x | 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 47-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 47-day average falls below the 71-day average