Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuhan Guide Infrared Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wuhan Guide Infrared Co. Ltd. Class A. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.7%, MDD -47.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.3%, drawdown -75.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.7%, MDD -47.7%, Sharpe 0.72, 45% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 18.7%, MDD -47.7%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=44, slow=233 |
18.7% | -47.7% | 0.72 | 0.39 | 15.5x | 9 | 45% |
| SMA 크로스오버 fast=44, slow=180 |
17.0% | -58.4% | 0.69 | 0.29 | 12.4x | 14 | 43% |
| MACD fast=14, slow=17, signal=19 |
16.4% | -63.6% | 0.64 | 0.26 | 11.5x | 214 | 49% |
| Supertrend period=22, mult=2.7 |
15.2% | -48.3% | 0.61 | 0.31 | 9.6x | 110 | 51% |
| 볼린저 밴드 돌파 n=17, k=2.6 |
10.9% | -37.0% | 0.59 | 0.29 | 5.3x | 70 | 16% |
| Donchian 채널 돌파 entryN=14, exitN=48 |
14.6% | -64.7% | 0.56 | 0.23 | 8.9x | 63 | 75% |
| Parabolic SAR step=0.01, maxStep=0.38 |
12.0% | -59.8% | 0.52 | 0.20 | 6.2x | 188 | 51% |
| ROC 모멘텀 n=144, threshold=0.05 |
10.9% | -56.6% | 0.50 | 0.19 | 5.2x | 84 | 41% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=17, mult=1.3 |
10.6% | -52.6% | 0.50 | 0.20 | 5.0x | 114 | 40% |
| ADX / DI 방향성 period=21, threshold=23 |
6.1% | -31.2% | 0.39 | 0.20 | 2.6x | 76 | 22% |
| Buy and hold | 12.3% | -75.2% | 0.49 | 0.16 | 6.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 233-day EMA
- Sell — Sell when the 44-day EMA falls below the 233-day EMA