Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hengyi Petrochemical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hengyi Petrochemical Co., Ltd. Class A. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -41.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.3%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.0%, MDD -65.2%, Sharpe 0.71, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 8.0%, MDD -41.0%, exposure 10%).
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=116, slow=248 |
19.0% | -65.2% | 0.71 | 0.29 | 165.2x | 23 | 43% |
| ROC 모멘텀 n=140, threshold=0.2 |
13.3% | -63.3% | 0.59 | 0.21 | 39.2x | 145 | 28% |
| 볼린저 밴드 돌파 n=44, k=3.4 |
8.0% | -41.0% | 0.57 | 0.19 | 9.5x | 28 | 10% |
| EMA 크로스오버 fast=21, slow=165 |
11.4% | -79.0% | 0.50 | 0.14 | 23.5x | 57 | 44% |
| ADX / DI 방향성 period=36, threshold=16 |
9.0% | -61.8% | 0.46 | 0.15 | 12.5x | 129 | 29% |
| Supertrend period=8, mult=4.6 |
9.3% | -81.5% | 0.43 | 0.11 | 13.7x | 95 | 59% |
| Donchian 채널 돌파 entryN=92, exitN=58 |
8.2% | -69.4% | 0.42 | 0.12 | 10.1x | 41 | 39% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=3.9 |
5.3% | -73.6% | 0.38 | 0.07 | 4.5x | 48 | 11% |
| Parabolic SAR step=0.01, maxStep=0.34 |
6.5% | -77.4% | 0.36 | 0.08 | 6.4x | 359 | 49% |
| MACD fast=15, slow=59, signal=14 |
3.4% | -72.8% | 0.27 | 0.05 | 2.7x | 359 | 51% |
| Buy and hold | 7.3% | -87.1% | 0.38 | 0.08 | 7.9x | 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 116-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 116-day average falls below the 248-day average