Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shandong Sinocera Functional Material Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shandong Sinocera Functional Material 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 ROC 모멘텀 (CAGR 26.6%, MDD -52.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.6%, drawdown -74.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.0%, MDD -52.7%, Sharpe 0.78, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 26.6%, MDD -52.7%, exposure 67%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 21.9%p (CAGR 26.6%, MDD -52.7%, exposure 67%).
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=28, slow=292 |
26.0% | -52.7% | 0.78 | 0.49 | 29.4x | 15 | 58% |
| ROC 모멘텀 n=263, threshold=-0.07 |
26.6% | -52.7% | 0.78 | 0.50 | 31.5x | 37 | 67% |
| EMA 크로스오버 fast=31, slow=250 |
25.4% | -52.7% | 0.76 | 0.48 | 27.3x | 11 | 61% |
| Donchian 채널 돌파 entryN=22, exitN=74 |
23.1% | -67.6% | 0.70 | 0.34 | 21.0x | 27 | 81% |
| Supertrend period=25, mult=4.9 |
14.5% | -75.3% | 0.55 | 0.19 | 7.2x | 40 | 57% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
11.0% | -59.6% | 0.48 | 0.18 | 4.6x | 76 | 41% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=28, mult=3.3 |
7.2% | -36.1% | 0.47 | 0.20 | 2.8x | 22 | 9% |
| MACD fast=12, slow=28, signal=16 |
9.6% | -59.0% | 0.44 | 0.16 | 3.8x | 211 | 49% |
| ADX / DI 방향성 period=30, threshold=17 |
8.8% | -57.5% | 0.43 | 0.15 | 3.5x | 61 | 31% |
| Parabolic SAR step=0.01, maxStep=0.24 |
8.7% | -66.6% | 0.42 | 0.13 | 3.4x | 173 | 50% |
| Buy and hold | 26.6% | -74.7% | 0.74 | 0.36 | 31.5x | 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 28-day average price crosses above the 292-day average
- Sell — Sell (to cash) when the 28-day average falls below the 292-day average