Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Inovance Technology Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Inovance Technology Co., Ltd Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.1%, MDD -54.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.6%, drawdown -77.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -54.9%, Sharpe 0.63, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 22.2%p (CAGR 16.1%, MDD -54.9%, exposure 57%).
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=49, slow=165 |
16.1% | -54.9% | 0.63 | 0.29 | 10.7x | 22 | 57% |
| Supertrend period=22, mult=4.5 |
12.3% | -64.7% | 0.48 | 0.19 | 6.3x | 44 | 51% |
| Donchian 채널 돌파 entryN=16, exitN=68 |
11.2% | -69.0% | 0.45 | 0.16 | 5.4x | 37 | 81% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
10.8% | -62.6% | 0.44 | 0.17 | 5.1x | 82 | 41% |
| EMA 크로스오버 fast=41, slow=187 |
9.4% | -60.0% | 0.44 | 0.16 | 4.1x | 26 | 60% |
| ROC 모멘텀 n=142, threshold=-0.09 |
9.5% | -69.4% | 0.44 | 0.14 | 4.2x | 112 | 73% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=1 |
7.6% | -61.1% | 0.37 | 0.13 | 3.2x | 126 | 46% |
| Parabolic SAR step=0.005, maxStep=0.16 |
6.9% | -76.2% | 0.36 | 0.09 | 2.9x | 132 | 50% |
| ADX / DI 방향성 period=27, threshold=19 |
5.1% | -60.4% | 0.33 | 0.08 | 2.2x | 58 | 26% |
| MACD fast=28, slow=51, signal=17 |
3.7% | -68.9% | 0.28 | 0.05 | 1.8x | 146 | 49% |
| Buy and hold | 18.6% | -77.1% | 0.58 | 0.24 | 14.9x | 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 49-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 49-day average falls below the 165-day average