Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Everwin Precision Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Everwin Precision Technology Co., Ltd. Class A. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.3%, MDD -54.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.3%, drawdown -80.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.3%, MDD -68.9%, Sharpe 0.47, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 11.3%p (CAGR 9.3%, MDD -54.9%, exposure 56%).
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=95, slow=170 |
11.3% | -68.9% | 0.47 | 0.16 | 5.5x | 16 | 62% |
| Donchian 채널 돌파 entryN=111, exitN=75 |
9.3% | -54.9% | 0.43 | 0.17 | 4.1x | 18 | 56% |
| Parabolic SAR step=0.015, maxStep=0.22 |
8.2% | -62.3% | 0.40 | 0.13 | 3.5x | 272 | 50% |
| Supertrend period=6, mult=5 |
6.9% | -66.2% | 0.37 | 0.10 | 2.9x | 40 | 63% |
| SMA 크로스오버 fast=56, slow=169 |
6.7% | -77.2% | 0.37 | 0.09 | 2.8x | 26 | 60% |
| ROC 모멘텀 n=111, threshold=-0.02 |
6.0% | -80.1% | 0.35 | 0.07 | 2.5x | 170 | 62% |
| 볼린저 밴드 돌파 n=41, k=1.8 |
5.3% | -58.6% | 0.33 | 0.09 | 2.3x | 90 | 36% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=11, mult=2.6 |
3.2% | -18.6% | 0.31 | 0.17 | 1.7x | 12 | 2% |
| MACD fast=18, slow=56, signal=19 |
0.5% | -83.1% | 0.21 | 0.01 | 1.1x | 160 | 50% |
| ADX / DI 방향성 period=34, threshold=20 |
1.0% | -63.3% | 0.17 | 0.02 | 1.2x | 34 | 14% |
| Buy and hold | 11.3% | -80.2% | 0.47 | 0.14 | 5.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 95-day EMA crosses above the 170-day EMA
- Sell — Sell when the 95-day EMA falls below the 170-day EMA