Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Yanghe Distillery Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Yanghe Distillery Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.4%, MDD -43.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.1%, drawdown -86.0%).
Sharpe leader (same as main): Supertrend — CAGR 11.4%, MDD -43.0%, Sharpe 0.55, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 11.4%, MDD -43.0%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=32, mult=5 |
11.4% | -43.0% | 0.55 | 0.27 | 6.2x | 36 | 47% |
| EMA 크로스오버 fast=22, slow=67 |
8.7% | -59.4% | 0.45 | 0.15 | 4.1x | 46 | 50% |
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=8, mult=1.6 |
7.9% | -51.3% | 0.44 | 0.15 | 3.6x | 68 | 40% |
| SMA 크로스오버 fast=18, slow=62 |
7.5% | -45.3% | 0.41 | 0.17 | 3.4x | 70 | 47% |
| ROC 모멘텀 n=169, threshold=0.01 |
6.9% | -63.4% | 0.39 | 0.11 | 3.1x | 92 | 50% |
| Donchian 채널 돌파 entryN=50, exitN=53 |
6.9% | -60.4% | 0.38 | 0.11 | 3.1x | 30 | 50% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
6.1% | -46.6% | 0.37 | 0.13 | 2.7x | 88 | 37% |
| ADX / DI 방향성 period=36, threshold=7 |
6.5% | -71.2% | 0.37 | 0.09 | 2.9x | 130 | 53% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.5% | -65.0% | 0.19 | 0.02 | 1.3x | 132 | 46% |
| MACD fast=18, slow=28, signal=12 |
0.0% | -64.1% | 0.13 | 0.00 | 1.0x | 218 | 49% |
| Buy and hold | 2.1% | -86.0% | 0.24 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 32-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)