Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yealink Network Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yealink Network Technology Co. Ltd. Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.3%, MDD -32.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.7%, drawdown -94.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -34.9%, Sharpe 0.53, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.1%p higher than buy and hold, while drawdown improves by 59.0%p (CAGR 2.3%, MDD -32.1%, exposure 25%).
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=76, slow=202 |
11.4% | -34.9% | 0.53 | 0.33 | 2.8x | 11 | 50% |
| Supertrend period=27, mult=3.2 |
5.5% | -42.1% | 0.34 | 0.13 | 1.7x | 43 | 45% |
| Donchian 채널 돌파 entryN=54, exitN=79 |
5.5% | -59.7% | 0.33 | 0.09 | 1.6x | 13 | 55% |
| EMA 크로스오버 fast=34, slow=161 |
4.9% | -61.1% | 0.31 | 0.08 | 1.6x | 17 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=1.7 |
4.5% | -48.5% | 0.30 | 0.09 | 1.5x | 41 | 34% |
| ROC 모멘텀 n=146, threshold=0.14 |
4.2% | -45.9% | 0.30 | 0.09 | 1.5x | 54 | 31% |
| Parabolic SAR step=0.005, maxStep=0.14 |
3.8% | -58.1% | 0.28 | 0.07 | 1.4x | 65 | 44% |
| MACD fast=29, slow=36, signal=22 |
3.4% | -52.3% | 0.26 | 0.06 | 1.4x | 75 | 54% |
| 볼린저 밴드 돌파 n=43, k=2.4 |
2.3% | -32.1% | 0.22 | 0.07 | 1.2x | 32 | 25% |
| ADX / DI 방향성 period=29, threshold=12 |
0.9% | -53.0% | 0.18 | 0.02 | 1.1x | 77 | 42% |
| Buy and hold | -12.7% | -94.0% | 0.29 | -0.13 | 0.3x | 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 76-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 76-day average falls below the 202-day average