Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Datang International Power Generation Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Datang International Power Generation Co., Ltd. Class A. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.1%, MDD -38.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.2%, drawdown -91.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -60.8%, Sharpe 0.46, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 5.1%, MDD -38.8%, exposure 6%).
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=50, slow=60 |
9.8% | -60.8% | 0.46 | 0.16 | 6.2x | 93 | 47% |
| Donchian 채널 돌파 entryN=58, exitN=38 |
8.3% | -62.9% | 0.43 | 0.13 | 4.8x | 38 | 40% |
| Supertrend period=10, mult=3.7 |
7.7% | -50.4% | 0.40 | 0.15 | 4.3x | 74 | 46% |
| ADX / DI 방향성 period=38, threshold=30 |
5.1% | -38.8% | 0.39 | 0.13 | 2.6x | 8 | 6% |
| EMA 크로스오버 fast=27, slow=45 |
6.4% | -70.3% | 0.36 | 0.09 | 3.4x | 66 | 43% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=14, mult=2.3 |
5.6% | -49.9% | 0.34 | 0.11 | 2.9x | 70 | 26% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
4.2% | -66.3% | 0.29 | 0.06 | 2.3x | 100 | 33% |
| ROC 모멘텀 n=41, threshold=-0.09 |
4.0% | -84.0% | 0.29 | 0.05 | 2.2x | 214 | 76% |
| MACD fast=19, slow=36, signal=16 |
-4.0% | -93.7% | 0.01 | -0.04 | 0.4x | 234 | 53% |
| Parabolic SAR step=0.045, maxStep=0.1 |
-6.5% | -96.1% | -0.09 | -0.07 | 0.3x | 464 | 45% |
| Buy and hold | 0.2% | -91.8% | 0.21 | 0.00 | 1.0x | 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 50-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 50-day average falls below the 60-day average