Trend-Following Backtester · Guide · backtest 한국어
equity · CN
XCMG Construction Machinery Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of XCMG Construction Machinery Co., Ltd. Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.9%, MDD -46.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.1%, drawdown -89.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.7%, MDD -58.9%, Sharpe 0.56, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 12.9%, MDD -46.9%, exposure 47%).
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=25, slow=194 |
13.7% | -58.9% | 0.56 | 0.23 | 46.9x | 56 | 57% |
| Donchian 채널 돌파 entryN=99, exitN=58 |
12.9% | -46.9% | 0.55 | 0.28 | 37.7x | 36 | 47% |
| EMA 크로스오버 fast=48, slow=137 |
13.1% | -60.2% | 0.54 | 0.22 | 40.2x | 44 | 59% |
| ROC 모멘텀 n=128, threshold=-0.01 |
11.0% | -68.8% | 0.48 | 0.16 | 22.7x | 212 | 58% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
6.3% | -34.6% | 0.42 | 0.18 | 6.3x | 40 | 14% |
| Supertrend period=17, mult=2.1 |
7.9% | -63.5% | 0.40 | 0.12 | 9.6x | 319 | 50% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=16, mult=1.9 |
5.1% | -56.3% | 0.32 | 0.09 | 4.5x | 184 | 30% |
| MACD fast=10, slow=29, signal=23 |
5.2% | -61.5% | 0.32 | 0.08 | 4.5x | 399 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
5.1% | -61.0% | 0.32 | 0.08 | 4.4x | 379 | 51% |
| ADX / DI 방향성 period=26, threshold=12 |
2.0% | -68.3% | 0.22 | 0.03 | 1.8x | 332 | 47% |
| Buy and hold | 11.1% | -89.9% | 0.46 | 0.12 | 23.5x | 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 25-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 25-day average falls below the 194-day average