Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Muyuan Foods Group Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Muyuan Foods Group 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 26.7%, drawdown -65.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.0%, MDD -58.0%, Sharpe 0.74, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.8%, MDD -56.0%, exposure 78%.
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=42, slow=108 |
22.0% | -58.0% | 0.74 | 0.38 | 12.0x | 28 | 54% |
| Donchian 채널 돌파 entryN=35, exitN=88 |
23.8% | -56.0% | 0.74 | 0.43 | 14.5x | 17 | 78% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
18.7% | -45.8% | 0.73 | 0.41 | 8.5x | 60 | 39% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=26, mult=2 |
15.4% | -45.5% | 0.64 | 0.34 | 6.0x | 54 | 38% |
| ADX / DI 방향성 period=31, threshold=11 |
17.1% | -58.1% | 0.64 | 0.29 | 7.2x | 103 | 53% |
| Parabolic SAR step=0.015, maxStep=0.1 |
16.0% | -53.6% | 0.63 | 0.30 | 6.4x | 192 | 52% |
| EMA 크로스오버 fast=68, slow=220 |
17.9% | -69.0% | 0.63 | 0.26 | 7.8x | 14 | 60% |
| ROC 모멘텀 n=98, threshold=0.1 |
15.3% | -63.5% | 0.60 | 0.24 | 5.9x | 106 | 43% |
| Supertrend period=20, mult=2 |
14.9% | -58.9% | 0.59 | 0.25 | 5.6x | 141 | 52% |
| MACD fast=19, slow=40, signal=19 |
11.6% | -50.1% | 0.52 | 0.23 | 3.9x | 131 | 50% |
| Buy and hold | 26.7% | -65.1% | 0.76 | 0.41 | 19.3x | 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 42-day average price crosses above the 108-day average
- Sell — Sell (to cash) when the 42-day average falls below the 108-day average