Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Luxshare Precision Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Luxshare Precision Industry Co., Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.3%, drawdown -59.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.3%, MDD -46.8%, Sharpe 0.71, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=10, slow=35 |
20.3% | -46.8% | 0.71 | 0.43 | 19.2x | 116 | 58% |
| ROC 모멘텀 n=138, threshold=-0.07 |
18.9% | -46.4% | 0.66 | 0.41 | 15.9x | 95 | 74% |
| Donchian 채널 돌파 entryN=9, exitN=59 |
19.1% | -55.8% | 0.64 | 0.34 | 16.3x | 47 | 86% |
| MACD fast=14, slow=31, signal=23 |
13.8% | -52.8% | 0.58 | 0.26 | 7.9x | 181 | 49% |
| EMA 크로스오버 fast=44, slow=180 |
15.2% | -66.3% | 0.58 | 0.23 | 9.6x | 19 | 67% |
| Parabolic SAR step=0.005, maxStep=0.1 |
11.7% | -50.0% | 0.51 | 0.23 | 5.8x | 132 | 54% |
| Supertrend period=12, mult=3.1 |
11.6% | -62.0% | 0.50 | 0.19 | 5.7x | 88 | 59% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
9.5% | -60.7% | 0.46 | 0.16 | 4.2x | 98 | 45% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=29, mult=3.3 |
7.4% | -44.7% | 0.43 | 0.17 | 3.1x | 44 | 25% |
| ADX / DI 방향성 period=25, threshold=22 |
5.6% | -30.6% | 0.38 | 0.18 | 2.4x | 52 | 18% |
| Buy and hold | 27.3% | -59.5% | 0.76 | 0.46 | 46.9x | 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 10-day average price crosses above the 35-day average
- Sell — Sell (to cash) when the 10-day average falls below the 35-day average