Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Azure Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Azure Corporation Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.9%, MDD -54.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 15.6%, drawdown -82.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.3%, MDD -67.2%, Sharpe 0.74, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 15.9%, MDD -54.6%, exposure 36%).
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=38, slow=204 |
23.3% | -67.2% | 0.74 | 0.35 | 45.7x | 21 | 55% |
| EMA 크로스오버 fast=29, slow=132 |
20.5% | -71.5% | 0.68 | 0.29 | 30.4x | 31 | 54% |
| Donchian 채널 돌파 entryN=45, exitN=65 |
19.5% | -64.9% | 0.65 | 0.30 | 25.9x | 31 | 60% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=1.2 |
17.2% | -59.2% | 0.62 | 0.29 | 18.0x | 108 | 43% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
15.9% | -54.6% | 0.61 | 0.29 | 14.7x | 68 | 36% |
| ROC 모멘텀 n=141, threshold=0.01 |
16.8% | -76.2% | 0.60 | 0.22 | 17.1x | 137 | 56% |
| Supertrend period=26, mult=1.9 |
14.9% | -63.9% | 0.57 | 0.23 | 12.6x | 229 | 47% |
| ADX / DI 방향성 period=25, threshold=25 |
11.2% | -42.0% | 0.57 | 0.27 | 7.0x | 44 | 15% |
| MACD fast=11, slow=41, signal=18 |
12.9% | -62.1% | 0.52 | 0.21 | 9.2x | 233 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
8.9% | -65.3% | 0.42 | 0.14 | 4.7x | 308 | 50% |
| Buy and hold | 15.6% | -82.9% | 0.55 | 0.19 | 14.1x | 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 38-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 38-day average falls below the 204-day average