Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Kweichow Moutai Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Kweichow Moutai Co., Ltd. Class A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 23.3%, MDD -36.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 23.2%, drawdown -62.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.3%, MDD -36.4%, Sharpe 1.00, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 23.3%, MDD -36.4%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=145, threshold=0.07 |
23.3% | -36.4% | 1.00 | 0.64 | 188.3x | 100 | 53% |
| SMA 크로스오버 fast=11, slow=229 |
23.0% | -63.2% | 0.96 | 0.36 | 175.5x | 42 | 61% |
| EMA 크로스오버 fast=45, slow=171 |
23.0% | -62.9% | 0.95 | 0.37 | 178.1x | 24 | 63% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
19.5% | -54.4% | 0.93 | 0.36 | 86.2x | 103 | 46% |
| Donchian 채널 돌파 entryN=103, exitN=79 |
20.1% | -57.7% | 0.90 | 0.35 | 96.9x | 26 | 54% |
| Supertrend period=23, mult=4.5 |
19.6% | -45.2% | 0.88 | 0.43 | 88.0x | 81 | 60% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.6 |
17.0% | -51.7% | 0.85 | 0.33 | 50.6x | 88 | 41% |
| ADX / DI 방향성 period=29, threshold=11 |
16.4% | -69.9% | 0.76 | 0.24 | 45.0x | 215 | 59% |
| MACD fast=16, slow=58, signal=17 |
14.2% | -45.1% | 0.73 | 0.31 | 27.7x | 240 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
10.0% | -46.6% | 0.54 | 0.21 | 10.8x | 196 | 54% |
| Buy and hold | 23.2% | -62.7% | 0.84 | 0.37 | 182.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 145-day return is greater than 7%
- Sell — Sell when the 145-day return drops to 7% or below