Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Wuhan Guide Infrared Co. Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Wuhan Guide Infrared Co. Ltd. Class A. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.7%, MDD -47.7%).

Data 2010-07-16 ~ 2026-07-31daily bars 3,894 (16.0 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 12.3%, drawdown -75.2%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.7%, MDD -47.7%, Sharpe 0.72, 45% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 18.7%, MDD -47.7%, exposure 45%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=44, slow=233
18.7%-47.7%0.720.3915.5x945%
SMA 크로스오버
fast=44, slow=180
17.0%-58.4%0.690.2912.4x1443%
MACD
fast=14, slow=17, signal=19
16.4%-63.6%0.640.2611.5x21449%
Supertrend
period=22, mult=2.7
15.2%-48.3%0.610.319.6x11051%
볼린저 밴드 돌파
n=17, k=2.6
10.9%-37.0%0.590.295.3x7016%
Donchian 채널 돌파
entryN=14, exitN=48
14.6%-64.7%0.560.238.9x6375%
Parabolic SAR
step=0.01, maxStep=0.38
12.0%-59.8%0.520.206.2x18851%
ROC 모멘텀
n=144, threshold=0.05
10.9%-56.6%0.500.195.2x8441%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=17, mult=1.3
10.6%-52.6%0.500.205.0x11440%
ADX / DI 방향성
period=21, threshold=23
6.1%-31.2%0.390.202.6x7622%
Buy and hold12.3%-75.2%0.490.166.4x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -56% -75% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -47.7% (2021-01-08 → 2025-01-27), recovered after 1,671 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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