Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hubei Zhenhua Chemical Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hubei Zhenhua Chemical 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 23.6%, MDD -45.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.2%, drawdown -77.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.6%, MDD -45.4%, Sharpe 0.73, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 23.6%, MDD -45.4%, exposure 52%).
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=71, slow=270 |
23.6% | -45.4% | 0.73 | 0.52 | 8.3x | 5 | 52% |
| Parabolic SAR step=0.02, maxStep=0.18 |
21.3% | -64.3% | 0.70 | 0.33 | 6.8x | 193 | 48% |
| EMA 크로스오버 fast=59, slow=189 |
19.1% | -52.7% | 0.64 | 0.36 | 5.7x | 7 | 53% |
| Donchian 채널 돌파 entryN=56, exitN=64 |
14.0% | -52.4% | 0.53 | 0.27 | 3.7x | 12 | 50% |
| Supertrend period=9, mult=3.9 |
9.6% | -64.4% | 0.43 | 0.15 | 2.5x | 44 | 52% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
7.5% | -33.3% | 0.43 | 0.23 | 2.1x | 14 | 9% |
| ADX / DI 방향성 period=29, threshold=17 |
7.5% | -54.7% | 0.39 | 0.14 | 2.1x | 46 | 37% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=3 |
6.2% | -34.6% | 0.38 | 0.18 | 1.8x | 24 | 10% |
| ROC 모멘텀 n=149, threshold=-0.01 |
4.0% | -76.9% | 0.31 | 0.05 | 1.5x | 84 | 56% |
| MACD fast=22, slow=43, signal=18 |
1.8% | -61.0% | 0.24 | 0.03 | 1.2x | 97 | 51% |
| Buy and hold | 27.2% | -77.3% | 0.73 | 0.35 | 11.0x | 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 71-day average price crosses above the 270-day average
- Sell — Sell (to cash) when the 71-day average falls below the 270-day average