Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Youran Dairy Group Limited backtest
10 trend-following strategies were compared on the full daily history of China Youran Dairy Group Limited. 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 15.0%, MDD -29.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -83.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.2%, MDD -36.8%, Sharpe 0.76, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.1%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 15.0%, MDD -29.1%, exposure 27%).
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=34, slow=187 |
22.2% | -36.8% | 0.76 | 0.60 | 2.8x | 2 | 31% |
| Donchian 채널 돌파 entryN=87, exitN=59 |
22.2% | -36.8% | 0.76 | 0.60 | 2.8x | 2 | 29% |
| ROC 모멘텀 n=103, threshold=0.1 |
21.7% | -36.8% | 0.75 | 0.59 | 2.7x | 20 | 29% |
| EMA 크로스오버 fast=8, slow=55 |
21.1% | -35.9% | 0.73 | 0.59 | 2.7x | 17 | 33% |
| Keltner 채널 돌파 emaPeriod=82, atrPeriod=27, mult=1.5 |
18.3% | -30.5% | 0.68 | 0.60 | 2.4x | 15 | 27% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
15.0% | -29.1% | 0.61 | 0.52 | 2.0x | 19 | 27% |
| ADX / DI 방향성 period=25, threshold=14 |
15.9% | -43.9% | 0.59 | 0.36 | 2.1x | 43 | 41% |
| MACD fast=18, slow=32, signal=18 |
9.7% | -59.0% | 0.44 | 0.16 | 1.6x | 53 | 47% |
| Supertrend period=11, mult=4.6 |
8.0% | -49.6% | 0.40 | 0.16 | 1.5x | 13 | 40% |
| Parabolic SAR step=0.04, maxStep=0.12 |
-0.2% | -65.2% | 0.18 | -0.00 | 1.0x | 131 | 42% |
| Buy and hold | -7.0% | -83.3% | 0.10 | -0.08 | 0.7x | 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 34-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 34-day average falls below the 187-day average