Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Xinyi Solar Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Xinyi Solar Holdings Ltd.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.5%, MDD -41.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.4%, drawdown -91.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -66.1%, Sharpe 0.60, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 6.5%, MDD -41.8%, exposure 17%).
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=15, slow=36 |
15.6% | -66.1% | 0.60 | 0.24 | 6.3x | 78 | 49% |
| Donchian 채널 돌파 entryN=20, exitN=18 |
10.0% | -75.9% | 0.45 | 0.13 | 3.3x | 67 | 49% |
| Supertrend period=12, mult=3.7 |
8.2% | -68.9% | 0.40 | 0.12 | 2.7x | 50 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=3.9 |
6.5% | -41.8% | 0.40 | 0.16 | 2.2x | 22 | 17% |
| EMA 크로스오버 fast=56, slow=190 |
6.3% | -54.0% | 0.35 | 0.12 | 2.2x | 14 | 48% |
| MACD fast=25, slow=31, signal=18 |
5.6% | -74.5% | 0.33 | 0.08 | 2.0x | 129 | 51% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
4.8% | -36.2% | 0.33 | 0.13 | 1.8x | 34 | 16% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.8% | -75.1% | 0.31 | 0.06 | 1.8x | 99 | 49% |
| ADX / DI 방향성 period=45, threshold=12 |
4.8% | -55.4% | 0.31 | 0.09 | 1.8x | 68 | 35% |
| ROC 모멘텀 n=142, threshold=0.19 |
1.7% | -61.5% | 0.20 | 0.03 | 1.2x | 70 | 29% |
| Buy and hold | 5.4% | -91.2% | 0.36 | 0.06 | 1.9x | 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 15-day average price crosses above the 36-day average
- Sell — Sell (to cash) when the 15-day average falls below the 36-day average