Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Azure Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Azure Corporation 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 15.9%, MDD -54.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.0%, drawdown -82.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.7%, MDD -67.2%, Sharpe 0.73, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 15.9%, MDD -54.6%, exposure 36%).
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=38, slow=204 |
22.7% | -67.2% | 0.73 | 0.34 | 41.3x | 21 | 54% |
| EMA 크로스오버 fast=29, slow=132 |
20.0% | -71.5% | 0.67 | 0.28 | 27.4x | 31 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=1.2 |
17.9% | -59.2% | 0.64 | 0.30 | 20.1x | 106 | 43% |
| Donchian 채널 돌파 entryN=45, exitN=65 |
18.9% | -64.9% | 0.64 | 0.29 | 23.4x | 31 | 60% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
15.9% | -54.6% | 0.61 | 0.29 | 14.7x | 68 | 36% |
| ROC 모멘텀 n=141, threshold=0.01 |
16.3% | -76.2% | 0.59 | 0.21 | 15.5x | 137 | 56% |
| Supertrend period=26, mult=1.9 |
15.3% | -63.9% | 0.58 | 0.24 | 13.3x | 228 | 47% |
| ADX / DI 방향성 period=25, threshold=25 |
11.3% | -42.0% | 0.57 | 0.27 | 7.0x | 44 | 15% |
| MACD fast=11, slow=41, signal=18 |
13.3% | -62.1% | 0.53 | 0.21 | 9.7x | 232 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
8.8% | -65.3% | 0.42 | 0.13 | 4.6x | 306 | 50% |
| Buy and hold | 15.0% | -82.9% | 0.54 | 0.18 | 12.7x | 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 38-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 38-day average falls below the 204-day average