Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Sanmei Chemical Industry Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Sanmei Chemical Industry 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 Supertrend (CAGR 11.0%, MDD -34.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.9%, drawdown -64.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -44.9%, Sharpe 0.57, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 11.0%, MDD -34.8%, exposure 48%).
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=36, slow=116 |
13.9% | -44.9% | 0.57 | 0.31 | 2.6x | 13 | 52% |
| Supertrend period=25, mult=2.3 |
11.0% | -34.8% | 0.49 | 0.32 | 2.1x | 64 | 48% |
| ROC 모멘텀 n=99, threshold=0.02 |
10.3% | -47.7% | 0.47 | 0.22 | 2.0x | 48 | 49% |
| EMA 크로스오버 fast=55, slow=60 |
10.2% | -43.4% | 0.46 | 0.23 | 2.0x | 14 | 52% |
| MACD fast=15, slow=33, signal=18 |
8.1% | -42.6% | 0.41 | 0.19 | 1.8x | 78 | 51% |
| Donchian 채널 돌파 entryN=55, exitN=75 |
7.9% | -51.8% | 0.40 | 0.15 | 1.7x | 11 | 55% |
| Parabolic SAR step=0.005, maxStep=0.06 |
7.2% | -44.4% | 0.38 | 0.16 | 1.7x | 54 | 45% |
| 볼린저 밴드 돌파 n=49, k=1.7 |
5.8% | -42.7% | 0.34 | 0.14 | 1.5x | 34 | 36% |
| ADX / DI 방향성 period=23, threshold=17 |
3.0% | -49.5% | 0.26 | 0.06 | 1.2x | 66 | 39% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=23, mult=1.2 |
2.7% | -46.0% | 0.24 | 0.06 | 1.2x | 66 | 34% |
| Buy and hold | 4.9% | -64.6% | 0.33 | 0.08 | 1.4x | 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 36-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 36-day average falls below the 116-day average