Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Xinhua Winshare Publishing & Media Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Xinhua Winshare Publishing & Media Co., Ltd. Class A. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.1%, MDD -44.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.8%, drawdown -77.0%).
Sharpe leader (same as main): Supertrend — CAGR 5.7%, MDD -57.0%, Sharpe 0.34, 45% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 4.1%, MDD -44.1%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=1.6 |
5.7% | -57.0% | 0.34 | 0.10 | 1.8x | 116 | 45% |
| SMA 크로스오버 fast=60, slow=230 |
4.1% | -44.1% | 0.29 | 0.09 | 1.5x | 8 | 43% |
| Parabolic SAR step=0.015, maxStep=0.38 |
2.5% | -66.9% | 0.23 | 0.04 | 1.3x | 162 | 45% |
| ADX / DI 방향성 period=30, threshold=36 |
0.6% | -31.1% | 0.11 | 0.02 | 1.1x | 4 | 2% |
| Donchian 채널 돌파 entryN=105, exitN=45 |
-2.6% | -54.7% | 0.01 | -0.05 | 0.8x | 12 | 23% |
| ROC 모멘텀 n=145, threshold=-0.05 |
-3.9% | -59.8% | 0.00 | -0.07 | 0.7x | 64 | 49% |
| MACD fast=23, slow=40, signal=14 |
-3.7% | -48.0% | 0.00 | -0.08 | 0.7x | 104 | 48% |
| EMA 크로스오버 fast=54, slow=178 |
-4.3% | -60.8% | -0.05 | -0.07 | 0.6x | 16 | 43% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=1.2 |
-3.9% | -47.3% | -0.05 | -0.08 | 0.7x | 88 | 20% |
| 볼린저 밴드 돌파 n=57, k=3 |
-2.4% | -40.1% | -0.06 | -0.06 | 0.8x | 12 | 7% |
| Buy and hold | 0.8% | -77.0% | 0.21 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 1.6× band
- Sell — Sell when price drops below the trend line (flips down)