Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Huafeng Test & Control Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Huafeng Test & Control Technology Co. Ltd. Class A. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 33.4%, MDD -41.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 22.5%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.4%, MDD -41.4%, Sharpe 0.89, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 33.4%, MDD -41.4%, exposure 53%).
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=30, slow=183 |
33.4% | -41.4% | 0.89 | 0.81 | 6.6x | 9 | 53% |
| EMA 크로스오버 fast=99, slow=158 |
31.6% | -49.1% | 0.86 | 0.64 | 6.0x | 5 | 51% |
| ROC 모멘텀 n=148, threshold=0.06 |
30.7% | -50.2% | 0.82 | 0.61 | 5.8x | 47 | 51% |
| Parabolic SAR step=0.03, maxStep=0.3 |
27.9% | -44.9% | 0.80 | 0.62 | 5.0x | 180 | 48% |
| Donchian 채널 돌파 entryN=106, exitN=92 |
26.3% | -56.6% | 0.77 | 0.46 | 4.6x | 5 | 46% |
| ADX / DI 방향성 period=41, threshold=19 |
17.6% | -41.1% | 0.65 | 0.43 | 2.9x | 9 | 24% |
| MACD fast=3, slow=27, signal=8 |
19.4% | -56.0% | 0.63 | 0.35 | 3.2x | 218 | 49% |
| Supertrend period=8, mult=3.8 |
15.0% | -73.1% | 0.54 | 0.21 | 2.5x | 24 | 72% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
11.4% | -63.7% | 0.48 | 0.18 | 2.0x | 30 | 30% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=3.1 |
11.3% | -39.8% | 0.48 | 0.28 | 2.0x | 18 | 27% |
| Buy and hold | 22.5% | -75.5% | 0.65 | 0.30 | 3.8x | 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 30-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 30-day average falls below the 183-day average