Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Kedali Industry Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Kedali Industry Co Ltd Class A. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.7%, MDD -50.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.5%, drawdown -82.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.7%, MDD -50.2%, Sharpe 0.70, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 21.7%, MDD -50.2%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=211 |
21.7% | -50.2% | 0.70 | 0.43 | 6.4x | 5 | 56% |
| Donchian 채널 돌파 entryN=59, exitN=67 |
20.7% | -60.1% | 0.67 | 0.34 | 5.9x | 11 | 62% |
| 볼린저 밴드 돌파 n=65, k=1.2 |
15.8% | -52.7% | 0.61 | 0.30 | 4.0x | 38 | 37% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=27, mult=2.2 |
14.6% | -41.0% | 0.60 | 0.36 | 3.6x | 36 | 32% |
| SMA 크로스오버 fast=32, slow=147 |
16.4% | -58.0% | 0.59 | 0.28 | 4.2x | 15 | 54% |
| ROC 모멘텀 n=132, threshold=-0.02 |
15.8% | -66.8% | 0.57 | 0.24 | 4.0x | 63 | 59% |
| MACD fast=24, slow=47, signal=20 |
14.8% | -69.5% | 0.56 | 0.21 | 3.7x | 72 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
11.7% | -55.9% | 0.49 | 0.21 | 2.8x | 186 | 48% |
| ADX / DI 방향성 period=10, threshold=29 |
9.9% | -42.8% | 0.47 | 0.23 | 2.4x | 82 | 28% |
| Supertrend period=22, mult=1.6 |
9.5% | -47.1% | 0.44 | 0.20 | 2.3x | 150 | 46% |
| Buy and hold | 17.5% | -82.7% | 0.58 | 0.21 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 211-day EMA
- Sell — Sell when the 58-day EMA falls below the 211-day EMA