Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuliangye Yibin Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wuliangye Yibin 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 볼린저 밴드 돌파 (CAGR 11.6%, MDD -49.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.3%, drawdown -79.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -53.4%, Sharpe 0.62, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 26.1%p (CAGR 11.6%, MDD -49.4%, exposure 39%).
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=9, slow=71 |
13.9% | -53.4% | 0.62 | 0.26 | 39.6x | 120 | 50% |
| ROC 모멘텀 n=167, threshold=0.05 |
13.6% | -51.2% | 0.61 | 0.27 | 36.6x | 204 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=1.7 |
12.3% | -54.1% | 0.60 | 0.23 | 26.7x | 138 | 39% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
11.6% | -49.4% | 0.57 | 0.23 | 22.0x | 148 | 39% |
| EMA 크로스오버 fast=9, slow=217 |
12.6% | -55.6% | 0.57 | 0.23 | 28.9x | 64 | 56% |
| ADX / DI 방향성 period=39, threshold=13 |
11.6% | -50.6% | 0.57 | 0.23 | 22.4x | 145 | 40% |
| MACD fast=14, slow=49, signal=19 |
11.2% | -66.0% | 0.54 | 0.17 | 19.8x | 295 | 50% |
| Donchian 채널 돌파 entryN=104, exitN=101 |
11.3% | -58.8% | 0.53 | 0.19 | 20.7x | 28 | 56% |
| Supertrend period=26, mult=3.9 |
10.1% | -57.6% | 0.51 | 0.17 | 15.1x | 118 | 46% |
| Parabolic SAR step=0.015, maxStep=0.34 |
5.9% | -70.0% | 0.35 | 0.08 | 5.1x | 463 | 50% |
| Buy and hold | 10.3% | -79.4% | 0.46 | 0.13 | 16.1x | 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 9-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 9-day average falls below the 71-day average