Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Mengniu Dairy Company Limited backtest
10 trend-following strategies were compared on the full daily history of China Mengniu Dairy Company Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.7%, MDD -29.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.7%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.7%, MDD -51.9%, Sharpe 0.61, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 9.7%, MDD -29.9%, exposure 26%).
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=55, slow=75 |
13.7% | -51.9% | 0.61 | 0.26 | 17.1x | 87 | 57% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
9.7% | -29.9% | 0.57 | 0.32 | 7.8x | 47 | 26% |
| Donchian 채널 돌파 entryN=107, exitN=50 |
11.1% | -56.1% | 0.57 | 0.20 | 10.2x | 29 | 41% |
| Supertrend period=26, mult=4.9 |
11.7% | -51.1% | 0.55 | 0.23 | 11.7x | 47 | 53% |
| EMA 크로스오버 fast=44, slow=120 |
10.6% | -66.1% | 0.52 | 0.16 | 9.3x | 37 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=3.8 |
7.1% | -30.4% | 0.47 | 0.23 | 4.6x | 36 | 22% |
| ROC 모멘텀 n=121, threshold=0.14 |
7.9% | -44.7% | 0.45 | 0.18 | 5.4x | 161 | 37% |
| Parabolic SAR step=0.005, maxStep=0.12 |
5.8% | -63.0% | 0.35 | 0.09 | 3.5x | 173 | 53% |
| ADX / DI 방향성 period=27, threshold=14 |
5.3% | -47.4% | 0.34 | 0.11 | 3.2x | 172 | 38% |
| MACD fast=24, slow=30, signal=28 |
-1.2% | -86.2% | 0.09 | -0.01 | 0.8x | 223 | 50% |
| Buy and hold | 9.7% | -83.1% | 0.45 | 0.12 | 7.7x | 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 55-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 55-day average falls below the 75-day average