Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anhui Gujing Distillery Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anhui Gujing Distillery Co., Ltd. Class A. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -50.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.4%, drawdown -92.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.5%, MDD -55.0%, Sharpe 0.61, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 8.1%, MDD -50.1%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=187 |
15.5% | -55.0% | 0.61 | 0.28 | 75.2x | 38 | 51% |
| SMA 크로스오버 fast=32, slow=207 |
14.3% | -56.0% | 0.58 | 0.26 | 54.7x | 46 | 53% |
| Supertrend period=24, mult=4.4 |
12.8% | -59.1% | 0.55 | 0.22 | 36.6x | 97 | 46% |
| Donchian 채널 돌파 entryN=66, exitN=46 |
12.5% | -57.3% | 0.55 | 0.22 | 33.5x | 50 | 43% |
| ROC 모멘텀 n=169, threshold=0.06 |
12.4% | -61.2% | 0.54 | 0.20 | 33.4x | 202 | 44% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=4 |
8.1% | -50.1% | 0.50 | 0.16 | 10.3x | 50 | 15% |
| 볼린저 밴드 돌파 n=52, k=2 |
9.3% | -71.7% | 0.48 | 0.13 | 14.3x | 111 | 31% |
| MACD fast=11, slow=36, signal=24 |
8.0% | -86.3% | 0.41 | 0.09 | 10.1x | 360 | 49% |
| ADX / DI 방향성 period=29, threshold=36 |
3.7% | -45.3% | 0.37 | 0.08 | 2.9x | 14 | 4% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.6% | -84.2% | 0.27 | 0.04 | 2.9x | 488 | 48% |
| Buy and hold | 8.4% | -92.8% | 0.40 | 0.09 | 11.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 187-day EMA
- Sell — Sell when the 38-day EMA falls below the 187-day EMA