Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anhui Jianghuai Automobile Group Corp., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anhui Jianghuai Automobile Group Corp., Ltd. Class A. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.0%, MDD -53.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 9.2%, drawdown -78.6%).
Sharpe leader (same as main): Supertrend — CAGR 21.0%, MDD -53.1%, Sharpe 0.73, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 21.0%, MDD -53.1%, exposure 47%).
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=14, mult=2.4 |
21.0% | -53.1% | 0.73 | 0.40 | 116.2x | 195 | 47% |
| MACD fast=10, slow=34, signal=18 |
18.1% | -58.0% | 0.66 | 0.31 | 62.7x | 307 | 50% |
| SMA 크로스오버 fast=10, slow=46 |
15.1% | -81.1% | 0.58 | 0.19 | 33.0x | 142 | 50% |
| Donchian 채널 돌파 entryN=12, exitN=12 |
14.6% | -58.5% | 0.57 | 0.25 | 30.0x | 209 | 51% |
| 볼린저 밴드 돌파 n=42, k=0.5 |
13.7% | -56.0% | 0.55 | 0.24 | 24.6x | 222 | 46% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=17, mult=1.2 |
12.5% | -60.9% | 0.53 | 0.21 | 18.8x | 212 | 37% |
| Parabolic SAR step=0.015, maxStep=0.36 |
12.4% | -59.5% | 0.52 | 0.21 | 18.4x | 395 | 49% |
| ADX / DI 방향성 period=26, threshold=7 |
11.1% | -79.9% | 0.47 | 0.14 | 13.9x | 298 | 58% |
| ROC 모멘텀 n=109, threshold=0.01 |
9.5% | -83.9% | 0.44 | 0.11 | 9.7x | 232 | 50% |
| EMA 크로스오버 fast=6, slow=107 |
7.6% | -77.1% | 0.39 | 0.10 | 6.2x | 130 | 51% |
| Buy and hold | 9.2% | -78.6% | 0.43 | 0.12 | 9.0x | 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) — 14-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)