Trend-Following Backtester · Guide · backtest 한국어
equity · HK
XPeng, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of XPeng, Inc. Class A. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.4%, MDD -38.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.4%, drawdown -88.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.4%, MDD -38.3%, Sharpe 0.57, 35% exposure.
CAGR reference leader: Supertrend — CAGR 16.9%, MDD -42.5%, exposure 40%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 38.8%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR 16.4%, MDD -38.3%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=17, slow=115 |
16.4% | -38.3% | 0.57 | 0.43 | 2.2x | 10 | 35% |
| Supertrend period=20, mult=1.5 |
16.9% | -42.5% | 0.56 | 0.40 | 2.2x | 92 | 40% |
| SMA 크로스오버 fast=6, slow=159 |
15.8% | -38.3% | 0.56 | 0.41 | 2.1x | 10 | 36% |
| ROC 모멘텀 n=113, threshold=0 |
12.2% | -46.6% | 0.48 | 0.26 | 1.8x | 32 | 40% |
| Donchian 채널 돌파 entryN=103, exitN=46 |
11.7% | -41.1% | 0.48 | 0.29 | 1.8x | 6 | 26% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.5% | -53.1% | 0.33 | 0.07 | 1.2x | 58 | 45% |
| MACD fast=13, slow=51, signal=18 |
0.8% | -66.4% | 0.28 | 0.01 | 1.0x | 57 | 45% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=2.3 |
3.6% | -57.3% | 0.28 | 0.06 | 1.2x | 18 | 21% |
| 볼린저 밴드 돌파 n=42, k=1 |
2.4% | -58.8% | 0.28 | 0.04 | 1.1x | 34 | 29% |
| ADX / DI 방향성 period=9, threshold=17 |
-2.1% | -56.9% | 0.20 | -0.04 | 0.9x | 128 | 41% |
| Buy and hold | -22.4% | -88.3% | 0.03 | -0.25 | 0.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 115-day EMA
- Sell — Sell when the 17-day EMA falls below the 115-day EMA