Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing-Shanghai High-Speed Railway Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing-Shanghai High-Speed Railway Co., Ltd. Class A. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -2.1%, MDD -13.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -4.9%, drawdown -44.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.3%, MDD -19.3%, Sharpe 0.17, 38% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR -2.1%, MDD -13.3%, exposure 3%).
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=28, slow=113 |
1.3% | -19.3% | 0.17 | 0.07 | 1.1x | 13 | 38% |
| EMA 크로스오버 fast=90, slow=174 |
1.1% | -16.8% | 0.15 | 0.06 | 1.1x | 4 | 32% |
| ROC 모멘텀 n=195, threshold=0.05 |
-1.2% | -19.2% | -0.06 | -0.06 | 0.9x | 28 | 23% |
| ADX / DI 방향성 period=31, threshold=13 |
-3.1% | -34.6% | -0.16 | -0.09 | 0.8x | 30 | 34% |
| Donchian 채널 돌파 entryN=46, exitN=69 |
-4.9% | -31.2% | -0.22 | -0.16 | 0.7x | 13 | 56% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
-3.2% | -19.8% | -0.27 | -0.16 | 0.8x | 18 | 19% |
| Supertrend period=26, mult=3.1 |
-6.9% | -40.0% | -0.42 | -0.17 | 0.6x | 32 | 43% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=17, mult=3.9 |
-2.1% | -13.3% | -0.51 | -0.16 | 0.9x | 4 | 3% |
| MACD fast=15, slow=27, signal=28 |
-9.8% | -53.5% | -0.62 | -0.18 | 0.5x | 74 | 50% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-11.3% | -57.3% | -0.65 | -0.20 | 0.5x | 52 | 44% |
| Buy and hold | -4.9% | -44.2% | -0.11 | -0.11 | 0.7x | 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 28-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 28-day average falls below the 113-day average