Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Hailiang Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Hailiang 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 볼린저 밴드 돌파 (CAGR 5.0%, MDD -38.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.9%, drawdown -84.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -48.9%, Sharpe 0.52, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 5.0%, MDD -38.6%, exposure 30%).
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=58, slow=107 |
11.1% | -48.9% | 0.52 | 0.23 | 7.0x | 43 | 51% |
| Donchian 채널 돌파 entryN=41, exitN=64 |
7.3% | -56.9% | 0.39 | 0.13 | 3.7x | 31 | 54% |
| EMA 크로스오버 fast=31, slow=125 |
5.8% | -59.7% | 0.35 | 0.10 | 2.9x | 41 | 57% |
| 볼린저 밴드 돌파 n=75, k=2.3 |
5.0% | -38.6% | 0.33 | 0.13 | 2.5x | 38 | 30% |
| ROC 모멘텀 n=146, threshold=-0.03 |
4.8% | -61.4% | 0.31 | 0.08 | 2.4x | 149 | 61% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=2.5 |
2.7% | -32.5% | 0.24 | 0.08 | 1.7x | 54 | 19% |
| ADX / DI 방향성 period=21, threshold=34 |
1.8% | -29.9% | 0.20 | 0.06 | 1.4x | 28 | 10% |
| MACD fast=18, slow=52, signal=19 |
1.0% | -60.5% | 0.18 | 0.02 | 1.2x | 178 | 50% |
| Supertrend period=27, mult=1.7 |
0.5% | -63.1% | 0.16 | 0.01 | 1.1x | 234 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.3% | -73.0% | 0.02 | -0.05 | 0.5x | 286 | 50% |
| Buy and hold | 3.9% | -84.2% | 0.30 | 0.05 | 2.0x | 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 58-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 58-day average falls below the 107-day average