Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Aier Eye Hospital Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Aier Eye Hospital Group Co., Ltd. Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.6%, MDD -45.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.2%, drawdown -81.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -45.5%, Sharpe 0.62, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 15.6%, MDD -45.5%, exposure 55%).
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=58, slow=243 |
15.6% | -45.5% | 0.62 | 0.34 | 11.4x | 18 | 55% |
| EMA 크로스오버 fast=55, slow=130 |
15.5% | -64.2% | 0.61 | 0.24 | 11.4x | 20 | 59% |
| Donchian 채널 돌파 entryN=54, exitN=38 |
13.9% | -60.3% | 0.58 | 0.23 | 8.9x | 34 | 49% |
| ROC 모멘텀 n=128, threshold=-0.09 |
14.3% | -53.9% | 0.56 | 0.26 | 9.5x | 116 | 69% |
| Supertrend period=28, mult=4.8 |
12.3% | -51.4% | 0.55 | 0.24 | 7.1x | 42 | 47% |
| ADX / DI 방향성 period=32, threshold=24 |
7.8% | -30.0% | 0.54 | 0.26 | 3.5x | 20 | 14% |
| 볼린저 밴드 돌파 n=69, k=1.4 |
11.3% | -63.4% | 0.53 | 0.18 | 6.1x | 56 | 41% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=7, mult=2.3 |
10.4% | -38.9% | 0.52 | 0.27 | 5.3x | 62 | 32% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.3% | -62.9% | 0.26 | 0.05 | 1.7x | 130 | 49% |
| MACD fast=17, slow=57, signal=14 |
0.9% | -67.6% | 0.18 | 0.01 | 1.2x | 208 | 52% |
| Buy and hold | 14.2% | -81.0% | 0.54 | 0.18 | 9.4x | 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 58-day average price crosses above the 243-day average
- Sell — Sell (to cash) when the 58-day average falls below the 243-day average