Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Aoshikang Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Aoshikang Technology Co. Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.1%, MDD -49.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -64.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -49.7%, Sharpe 0.46, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 14.4%p (CAGR 10.1%, MDD -49.7%, exposure 49%).
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=178 |
10.1% | -49.7% | 0.46 | 0.20 | 2.3x | 17 | 49% |
| Donchian 채널 돌파 entryN=4, exitN=34 |
9.7% | -61.8% | 0.44 | 0.16 | 2.2x | 59 | 82% |
| ROC 모멘텀 n=159, threshold=-0.02 |
8.0% | -50.7% | 0.40 | 0.16 | 2.0x | 71 | 60% |
| Parabolic SAR step=0.01, maxStep=0.26 |
7.8% | -41.9% | 0.40 | 0.19 | 1.9x | 117 | 46% |
| EMA 크로스오버 fast=45, slow=165 |
7.2% | -51.0% | 0.38 | 0.14 | 1.8x | 15 | 52% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
3.4% | -21.7% | 0.33 | 0.16 | 1.3x | 8 | 5% |
| MACD fast=17, slow=28, signal=8 |
5.0% | -60.1% | 0.32 | 0.08 | 1.5x | 139 | 48% |
| Supertrend period=36, mult=4.7 |
2.6% | -58.7% | 0.26 | 0.05 | 1.3x | 27 | 58% |
| ADX / DI 방향성 period=32, threshold=36 |
1.2% | -10.4% | 0.25 | 0.11 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=19, mult=2 |
2.9% | -37.5% | 0.24 | 0.08 | 1.3x | 47 | 19% |
| Buy and hold | 13.0% | -64.1% | 0.50 | 0.20 | 2.9x | 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 178-day average
- Sell — Sell (to cash) when the 47-day average falls below the 178-day average