Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Hengli Hydraulic Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Hengli Hydraulic Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.2%, MDD -50.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.6%, drawdown -68.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.7%, MDD -59.7%, Sharpe 0.76, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 8.8%p (CAGR 20.2%, MDD -50.8%, exposure 60%).
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=10, slow=198 |
21.7% | -59.7% | 0.76 | 0.36 | 18.1x | 26 | 60% |
| EMA 크로스오버 fast=35, slow=112 |
20.2% | -50.8% | 0.72 | 0.40 | 15.0x | 27 | 60% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
18.8% | -73.5% | 0.64 | 0.26 | 12.8x | 33 | 87% |
| ADX / DI 방향성 period=24, threshold=17 |
14.7% | -32.5% | 0.64 | 0.45 | 7.5x | 90 | 39% |
| Supertrend period=16, mult=3.8 |
16.1% | -44.8% | 0.63 | 0.36 | 9.1x | 57 | 57% |
| 볼린저 밴드 돌파 n=36, k=2.2 |
12.6% | -33.1% | 0.59 | 0.38 | 5.7x | 76 | 34% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=31, mult=2.2 |
11.2% | -36.7% | 0.58 | 0.31 | 4.8x | 68 | 25% |
| ROC 모멘텀 n=28, threshold=-0.02 |
12.6% | -65.8% | 0.53 | 0.19 | 5.7x | 280 | 62% |
| Parabolic SAR step=0.005, maxStep=0.24 |
10.3% | -53.0% | 0.48 | 0.19 | 4.2x | 124 | 53% |
| MACD fast=18, slow=53, signal=18 |
8.1% | -60.8% | 0.42 | 0.13 | 3.2x | 144 | 51% |
| Buy and hold | 19.6% | -68.5% | 0.64 | 0.29 | 14.1x | 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 10-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 10-day average falls below the 198-day average