Trend-Following Backtester · Guide · backtest 한국어
equity · CN
GD Power Development Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of GD Power Development Co., Ltd Class A. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -57.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.8%, drawdown -76.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.3%, MDD -62.4%, Sharpe 0.57, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 9.7%, MDD -57.5%, exposure 42%).
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=50, slow=78 |
12.3% | -62.4% | 0.57 | 0.20 | 30.2x | 56 | 54% |
| SMA 크로스오버 fast=33, slow=142 |
10.9% | -64.2% | 0.52 | 0.17 | 20.6x | 50 | 53% |
| ADX / DI 방향성 period=28, threshold=20 |
8.6% | -56.1% | 0.52 | 0.15 | 11.2x | 92 | 30% |
| Donchian 채널 돌파 entryN=82, exitN=44 |
9.7% | -57.5% | 0.51 | 0.17 | 15.2x | 58 | 42% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
7.6% | -49.5% | 0.48 | 0.15 | 8.5x | 72 | 25% |
| ROC 모멘텀 n=110, threshold=0 |
7.8% | -68.7% | 0.42 | 0.11 | 9.1x | 279 | 53% |
| MACD fast=11, slow=41, signal=19 |
6.4% | -69.7% | 0.38 | 0.09 | 6.3x | 371 | 51% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=7, mult=3.3 |
5.7% | -49.1% | 0.37 | 0.12 | 5.1x | 72 | 28% |
| Supertrend period=18, mult=5 |
6.0% | -82.2% | 0.36 | 0.07 | 5.6x | 81 | 57% |
| Parabolic SAR step=0.01, maxStep=0.08 |
5.2% | -68.6% | 0.33 | 0.08 | 4.5x | 323 | 51% |
| Buy and hold | 11.8% | -76.4% | 0.50 | 0.16 | 26.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 78-day EMA
- Sell — Sell when the 50-day EMA falls below the 78-day EMA