Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Yangzijiang Shipbuilding (Holdings) Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yangzijiang Shipbuilding (Holdings) Ltd.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.7%, MDD -37.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.2%, drawdown -89.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.9%, MDD -43.8%, Sharpe 0.82, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 16.7%, MDD -37.3%, exposure 46%).
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=8, slow=87 |
19.9% | -43.8% | 0.82 | 0.45 | 33.9x | 67 | 56% |
| Donchian 채널 돌파 entryN=50, exitN=43 |
17.8% | -52.1% | 0.77 | 0.34 | 23.8x | 41 | 52% |
| Supertrend period=18, mult=5 |
18.3% | -56.3% | 0.77 | 0.32 | 25.8x | 49 | 53% |
| SMA 크로스오버 fast=10, slow=145 |
17.3% | -43.1% | 0.76 | 0.40 | 22.0x | 55 | 54% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=24, mult=1.7 |
16.7% | -37.3% | 0.75 | 0.45 | 19.8x | 77 | 46% |
| Parabolic SAR step=0.005, maxStep=0.32 |
15.9% | -54.2% | 0.68 | 0.29 | 17.5x | 135 | 55% |
| 볼린저 밴드 돌파 n=35, k=1.3 |
13.6% | -39.4% | 0.66 | 0.35 | 11.9x | 151 | 42% |
| ROC 모멘텀 n=102, threshold=-0.02 |
14.5% | -52.9% | 0.63 | 0.27 | 13.7x | 137 | 60% |
| ADX / DI 방향성 period=33, threshold=10 |
11.1% | -49.2% | 0.54 | 0.23 | 7.6x | 179 | 51% |
| MACD fast=20, slow=35, signal=18 |
10.3% | -59.0% | 0.49 | 0.17 | 6.6x | 197 | 51% |
| Buy and hold | 10.2% | -89.4% | 0.44 | 0.11 | 6.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 87-day EMA
- Sell — Sell when the 8-day EMA falls below the 87-day EMA