Trend-Following Backtester · Guide · backtest 한국어
equity · US
China Yuchai International Limited backtest
10 trend-following strategies were compared on the full daily history of China Yuchai International Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.8%, MDD -71.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.0%, drawdown -97.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.8%, MDD -71.5%, Sharpe 0.61, 43% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 18.8%, MDD -71.5%, exposure 43%).
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=45, slow=224 |
18.8% | -71.5% | 0.61 | 0.26 | 232.6x | 35 | 43% |
| Supertrend period=29, mult=4.2 |
16.4% | -82.5% | 0.56 | 0.20 | 122.5x | 120 | 45% |
| EMA 크로스오버 fast=49, slow=112 |
14.7% | -75.6% | 0.53 | 0.19 | 77.1x | 47 | 44% |
| ROC 모멘텀 n=141, threshold=0.11 |
12.8% | -73.8% | 0.49 | 0.17 | 45.4x | 195 | 37% |
| Donchian 채널 돌파 entryN=67, exitN=82 |
12.7% | -91.3% | 0.48 | 0.14 | 44.0x | 47 | 54% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=22, mult=2.3 |
9.7% | -74.1% | 0.43 | 0.13 | 18.6x | 124 | 34% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
9.5% | -74.3% | 0.42 | 0.13 | 17.4x | 160 | 34% |
| MACD fast=14, slow=32, signal=14 |
3.8% | -91.5% | 0.31 | 0.04 | 3.3x | 453 | 51% |
| Parabolic SAR step=0.035, maxStep=0.22 |
2.3% | -91.7% | 0.27 | 0.02 | 2.0x | 817 | 47% |
| ADX / DI 방향성 period=38, threshold=17 |
1.9% | -83.2% | 0.21 | 0.02 | 1.8x | 116 | 23% |
| Buy and hold | 5.0% | -97.8% | 0.40 | 0.05 | 4.6x | 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 45-day average price crosses above the 224-day average
- Sell — Sell (to cash) when the 45-day average falls below the 224-day average