Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suzhou Dongshan Precision Manufacturing Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Suzhou Dongshan Precision Manufacturing Co., Ltd Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.1%, MDD -48.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.4%, drawdown -80.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.1%, MDD -48.2%, Sharpe 0.72, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 22.1%, MDD -48.2%, exposure 54%).
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=23, slow=174 |
22.1% | -48.2% | 0.72 | 0.46 | 26.5x | 33 | 54% |
| ROC 모멘텀 n=164, threshold=-0.04 |
21.9% | -64.5% | 0.71 | 0.34 | 25.8x | 91 | 60% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=31, mult=3 |
16.7% | -50.0% | 0.71 | 0.33 | 12.6x | 48 | 22% |
| Donchian 채널 돌파 entryN=106, exitN=75 |
20.5% | -52.4% | 0.69 | 0.39 | 21.3x | 17 | 56% |
| EMA 크로스오버 fast=25, slow=248 |
20.4% | -61.6% | 0.68 | 0.33 | 20.8x | 19 | 56% |
| 볼린저 밴드 돌파 n=27, k=2.7 |
13.8% | -51.4% | 0.66 | 0.27 | 8.3x | 56 | 19% |
| MACD fast=17, slow=58, signal=17 |
16.1% | -60.5% | 0.60 | 0.27 | 11.6x | 160 | 50% |
| Supertrend period=26, mult=3 |
15.2% | -72.7% | 0.58 | 0.21 | 10.2x | 108 | 49% |
| ADX / DI 방향성 period=21, threshold=17 |
12.2% | -61.6% | 0.52 | 0.20 | 6.6x | 134 | 37% |
| Parabolic SAR step=0.04, maxStep=0.04 |
8.4% | -79.8% | 0.41 | 0.11 | 3.7x | 185 | 51% |
| Buy and hold | 19.4% | -80.7% | 0.61 | 0.24 | 18.3x | 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 23-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 23-day average falls below the 174-day average