Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Yangtze Power Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Yangtze Power Co., Ltd. Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.8%, MDD -31.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -62.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -31.9%, Sharpe 0.59, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 8.8%, MDD -31.9%, exposure 50%).
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=58, slow=102 |
8.8% | -31.9% | 0.59 | 0.28 | 6.9x | 55 | 50% |
| Donchian 채널 돌파 entryN=107, exitN=61 |
5.9% | -46.1% | 0.43 | 0.13 | 3.7x | 33 | 44% |
| ADX / DI 방향성 period=38, threshold=26 |
3.8% | -21.4% | 0.42 | 0.18 | 2.3x | 18 | 10% |
| EMA 크로스오버 fast=43, slow=138 |
5.9% | -45.9% | 0.41 | 0.13 | 3.7x | 37 | 52% |
| Supertrend period=19, mult=5 |
5.8% | -53.6% | 0.40 | 0.11 | 3.6x | 49 | 55% |
| ROC 모멘텀 n=101, threshold=0.1 |
3.6% | -42.7% | 0.32 | 0.08 | 2.2x | 142 | 23% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=3.4 |
2.8% | -28.7% | 0.27 | 0.10 | 1.9x | 46 | 21% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
2.7% | -39.4% | 0.27 | 0.07 | 1.9x | 58 | 23% |
| MACD fast=19, slow=34, signal=20 |
-2.3% | -67.8% | -0.06 | -0.03 | 0.6x | 252 | 52% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-2.8% | -69.2% | -0.08 | -0.04 | 0.5x | 365 | 51% |
| Buy and hold | 8.8% | -62.6% | 0.49 | 0.14 | 6.8x | 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 58-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 58-day average falls below the 102-day average