Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Yangzijiang Shipbuilding (Holdings) Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yangzijiang Shipbuilding (Holdings) Ltd.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.5%, MDD -37.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.0%, drawdown -89.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.7%, MDD -43.8%, Sharpe 0.79, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 15.5%, MDD -37.3%, exposure 46%).
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=8, slow=87 |
18.7% | -43.8% | 0.79 | 0.43 | 27.4x | 67 | 56% |
| Donchian 채널 돌파 entryN=50, exitN=43 |
17.0% | -52.1% | 0.75 | 0.33 | 20.8x | 40 | 52% |
| Supertrend period=18, mult=5 |
17.1% | -56.3% | 0.73 | 0.30 | 20.9x | 49 | 53% |
| SMA 크로스오버 fast=10, slow=145 |
16.1% | -43.1% | 0.72 | 0.37 | 17.8x | 55 | 54% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=24, mult=1.7 |
15.5% | -37.3% | 0.71 | 0.41 | 16.1x | 77 | 46% |
| Parabolic SAR step=0.005, maxStep=0.32 |
14.7% | -54.2% | 0.64 | 0.27 | 14.1x | 135 | 55% |
| 볼린저 밴드 돌파 n=35, k=1.3 |
12.5% | -39.4% | 0.62 | 0.32 | 9.6x | 151 | 41% |
| ROC 모멘텀 n=102, threshold=-0.02 |
13.3% | -52.9% | 0.60 | 0.25 | 11.2x | 136 | 60% |
| ADX / DI 방향성 period=33, threshold=10 |
9.9% | -49.2% | 0.50 | 0.20 | 6.2x | 179 | 50% |
| MACD fast=20, slow=35, signal=18 |
9.1% | -59.0% | 0.46 | 0.15 | 5.4x | 197 | 51% |
| Buy and hold | 9.0% | -89.4% | 0.42 | 0.10 | 5.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 87-day EMA
- Sell — Sell when the 8-day EMA falls below the 87-day EMA