Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yangtze Optical Fibre & Cable Joint Stock Ltd. Co. Class A backtest
10 trend-following strategies were compared on the full daily history of Yangtze Optical Fibre & Cable Joint Stock Ltd. Co. Class A. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 34.3%, MDD -39.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 26.7%, drawdown -64.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 38.6%, MDD -54.8%, Sharpe 1.03, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 34.3%, MDD -39.6%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=254 |
38.6% | -54.8% | 1.03 | 0.70 | 14.0x | 5 | 42% |
| ADX / DI 방향성 period=37, threshold=21 |
34.3% | -39.6% | 1.02 | 0.87 | 10.8x | 14 | 25% |
| SMA 크로스오버 fast=15, slow=214 |
38.4% | -54.8% | 1.02 | 0.70 | 13.9x | 9 | 42% |
| ROC 모멘텀 n=137, threshold=0.14 |
33.7% | -54.8% | 0.96 | 0.62 | 10.5x | 29 | 33% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
32.8% | -43.1% | 0.95 | 0.76 | 9.9x | 34 | 36% |
| Supertrend period=5, mult=2.3 |
34.1% | -53.8% | 0.95 | 0.63 | 10.7x | 69 | 52% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=1.7 |
31.9% | -42.8% | 0.95 | 0.74 | 9.4x | 39 | 33% |
| MACD fast=17, slow=53, signal=13 |
26.8% | -56.1% | 0.84 | 0.48 | 6.8x | 91 | 50% |
| Donchian 채널 돌파 entryN=32, exitN=17 |
25.2% | -54.8% | 0.79 | 0.46 | 6.1x | 32 | 38% |
| Parabolic SAR step=0.01, maxStep=0.2 |
21.1% | -59.8% | 0.71 | 0.35 | 4.7x | 97 | 49% |
| Buy and hold | 26.7% | -64.9% | 0.74 | 0.41 | 6.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 254-day EMA
- Sell — Sell when the 42-day EMA falls below the 254-day EMA