Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wolong Electric Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wolong Electric Group Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 9.8%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -75.1%, Sharpe 0.51, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=151 |
12.1% | -75.1% | 0.51 | 0.16 | 15.7x | 38 | 50% |
| EMA 크로스오버 fast=42, slow=98 |
10.5% | -80.8% | 0.46 | 0.13 | 11.2x | 44 | 52% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=11, mult=0.7 |
7.5% | -66.5% | 0.39 | 0.11 | 5.7x | 188 | 45% |
| Donchian 채널 돌파 entryN=29, exitN=29 |
7.3% | -62.8% | 0.38 | 0.12 | 5.5x | 94 | 51% |
| 볼린저 밴드 돌파 n=50, k=2.8 |
6.5% | -44.8% | 0.38 | 0.14 | 4.5x | 56 | 21% |
| ROC 모멘텀 n=133, threshold=0.07 |
6.8% | -79.6% | 0.37 | 0.09 | 4.9x | 160 | 45% |
| MACD fast=15, slow=24, signal=12 |
6.4% | -66.0% | 0.36 | 0.10 | 4.4x | 360 | 52% |
| Supertrend period=28, mult=4.8 |
6.1% | -63.9% | 0.35 | 0.10 | 4.2x | 74 | 46% |
| ADX / DI 방향성 period=39, threshold=15 |
5.3% | -68.7% | 0.33 | 0.08 | 3.5x | 94 | 28% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.3% | -67.4% | 0.23 | 0.03 | 1.7x | 204 | 47% |
| Buy and hold | 9.8% | -74.9% | 0.44 | 0.13 | 9.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 42-day average falls below the 151-day average