Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Asymchem Laboratories (Tianjin) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Asymchem Laboratories (Tianjin) Co., Ltd. Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 19.4%, MDD -49.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.9%, drawdown -84.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.3%, MDD -51.9%, Sharpe 0.71, 51% exposure.
CAGR reference leader: Parabolic SAR — CAGR 19.4%, MDD -49.4%, exposure 52%.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 32.0%p (CAGR 19.4%, MDD -49.4%, exposure 52%).
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=27, slow=199 |
19.3% | -51.9% | 0.71 | 0.37 | 5.5x | 11 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
19.4% | -49.4% | 0.71 | 0.39 | 5.6x | 122 | 52% |
| Donchian 채널 돌파 entryN=85, exitN=43 |
16.0% | -52.8% | 0.64 | 0.30 | 4.2x | 13 | 44% |
| SMA 크로스오버 fast=18, slow=125 |
16.0% | -56.1% | 0.62 | 0.29 | 4.2x | 21 | 53% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=27, mult=1.5 |
15.0% | -41.9% | 0.60 | 0.36 | 3.9x | 37 | 49% |
| ROC 모멘텀 n=95, threshold=-0.01 |
14.0% | -65.6% | 0.56 | 0.21 | 3.6x | 81 | 56% |
| Supertrend period=13, mult=2 |
11.6% | -53.0% | 0.50 | 0.22 | 2.9x | 112 | 52% |
| 볼린저 밴드 돌파 n=22, k=3 |
5.5% | -24.5% | 0.40 | 0.22 | 1.7x | 20 | 9% |
| MACD fast=7, slow=32, signal=19 |
7.0% | -56.8% | 0.38 | 0.12 | 1.9x | 152 | 49% |
| ADX / DI 방향성 period=30, threshold=25 |
4.0% | -25.9% | 0.35 | 0.16 | 1.5x | 14 | 11% |
| Buy and hold | 23.9% | -84.0% | 0.71 | 0.29 | 8.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 199-day EMA
- Sell — Sell when the 27-day EMA falls below the 199-day EMA