Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chengdu Xuguang Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chengdu Xuguang Electronics Co., Ltd. Class A. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.5%, MDD -58.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.0%, drawdown -78.6%).
Sharpe leader (same as main): MACD — CAGR 14.5%, MDD -78.0%, Sharpe 0.56, 53% exposure.
CAGR reference leader: Supertrend — CAGR 14.5%, MDD -58.7%, exposure 49%.
Return/drawdown alternative: Supertrend — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 0.6%p (CAGR 14.5%, MDD -58.7%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=7, slow=34, signal=14 |
14.5% | -78.0% | 0.56 | 0.19 | 24.7x | 404 | 53% |
| Supertrend period=8, mult=2.6 |
14.5% | -58.7% | 0.56 | 0.25 | 24.7x | 188 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
13.1% | -60.7% | 0.53 | 0.22 | 18.4x | 284 | 49% |
| ROC 모멘텀 n=144, threshold=-0.04 |
10.2% | -66.2% | 0.45 | 0.15 | 9.9x | 161 | 59% |
| SMA 크로스오버 fast=5, slow=168 |
9.4% | -78.7% | 0.43 | 0.12 | 8.4x | 81 | 52% |
| Donchian 채널 돌파 entryN=63, exitN=77 |
8.7% | -79.6% | 0.41 | 0.11 | 7.2x | 37 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.5 |
8.0% | -84.0% | 0.40 | 0.10 | 6.2x | 254 | 37% |
| EMA 크로스오버 fast=22, slow=181 |
7.9% | -82.5% | 0.40 | 0.10 | 6.1x | 45 | 53% |
| ADX / DI 방향성 period=13, threshold=26 |
6.8% | -71.4% | 0.37 | 0.10 | 4.8x | 200 | 27% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=1.7 |
5.6% | -79.6% | 0.33 | 0.07 | 3.6x | 138 | 37% |
| Buy and hold | 11.0% | -78.6% | 0.47 | 0.14 | 12.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (7/34) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line