Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Universal Scientific Industrial (Shanghai) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Universal Scientific Industrial (Shanghai) Co., Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.4%, MDD -55.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -69.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -55.6%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 13.9%p (CAGR 10.4%, MDD -55.6%, exposure 56%).
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=48, slow=216 |
10.4% | -55.6% | 0.46 | 0.19 | 4.2x | 14 | 56% |
| Donchian 채널 돌파 entryN=41, exitN=115 |
9.5% | -57.7% | 0.43 | 0.16 | 3.7x | 20 | 70% |
| EMA 크로스오버 fast=40, slow=240 |
6.2% | -66.0% | 0.35 | 0.09 | 2.4x | 18 | 53% |
| ROC 모멘텀 n=140, threshold=-0.05 |
3.8% | -80.6% | 0.30 | 0.05 | 1.7x | 138 | 63% |
| Parabolic SAR step=0.015, maxStep=0.38 |
1.4% | -71.1% | 0.22 | 0.02 | 1.2x | 236 | 50% |
| ADX / DI 방향성 period=20, threshold=31 |
2.0% | -36.4% | 0.21 | 0.05 | 1.3x | 18 | 7% |
| Supertrend period=36, mult=5 |
1.0% | -68.1% | 0.21 | 0.01 | 1.2x | 46 | 55% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
0.6% | -37.0% | 0.11 | 0.02 | 1.1x | 26 | 4% |
| MACD fast=6, slow=50, signal=10 |
-3.0% | -78.0% | 0.09 | -0.04 | 0.6x | 313 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=1.4 |
-2.7% | -78.3% | 0.08 | -0.04 | 0.7x | 102 | 38% |
| Buy and hold | 11.1% | -69.5% | 0.47 | 0.16 | 4.6x | 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 48-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 48-day average falls below the 216-day average