Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wanhua Chemical Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wanhua Chemical Group Co. Ltd. Class A. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.9%, MDD -44.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.7%, drawdown -81.6%).
Sharpe leader (same as main): Supertrend — CAGR 22.2%, MDD -61.5%, Sharpe 0.81, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 16.9%, MDD -44.1%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=3.9 |
22.2% | -61.5% | 0.81 | 0.36 | 167.5x | 84 | 66% |
| Donchian 채널 돌파 entryN=25, exitN=22 |
20.6% | -46.6% | 0.79 | 0.44 | 118.9x | 103 | 55% |
| SMA 크로스오버 fast=20, slow=47 |
16.9% | -44.1% | 0.69 | 0.38 | 54.0x | 128 | 55% |
| Parabolic SAR step=0.02, maxStep=0.02 |
16.4% | -50.9% | 0.68 | 0.32 | 48.4x | 128 | 53% |
| EMA 크로스오버 fast=15, slow=32 |
16.0% | -49.7% | 0.66 | 0.32 | 44.5x | 145 | 56% |
| ROC 모멘텀 n=35, threshold=-0.04 |
15.7% | -68.1% | 0.63 | 0.23 | 42.1x | 337 | 67% |
| 볼린저 밴드 돌파 n=42, k=1.1 |
12.4% | -60.7% | 0.57 | 0.20 | 19.6x | 179 | 44% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=21, mult=1.7 |
10.9% | -48.1% | 0.55 | 0.23 | 14.1x | 172 | 37% |
| ADX / DI 방향성 period=18, threshold=36 |
4.4% | -32.0% | 0.39 | 0.14 | 3.0x | 42 | 8% |
| MACD fast=10, slow=24, signal=14 |
6.4% | -56.8% | 0.37 | 0.11 | 4.9x | 421 | 52% |
| Buy and hold | 16.7% | -81.6% | 0.59 | 0.20 | 51.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)