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 15.5%, MDD -58.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.4%, drawdown -78.6%).
Sharpe leader (same as main): MACD — CAGR 15.8%, MDD -78.0%, Sharpe 0.59, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 0.6%p (CAGR 15.5%, 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 |
15.8% | -78.0% | 0.59 | 0.20 | 32.9x | 405 | 53% |
| Supertrend period=8, mult=2.6 |
15.5% | -58.7% | 0.58 | 0.26 | 30.6x | 189 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
14.0% | -60.7% | 0.55 | 0.23 | 22.8x | 285 | 49% |
| ROC 모멘텀 n=144, threshold=-0.04 |
12.5% | -66.2% | 0.50 | 0.19 | 16.4x | 161 | 59% |
| SMA 크로스오버 fast=5, slow=168 |
11.7% | -78.7% | 0.48 | 0.15 | 13.9x | 81 | 52% |
| Donchian 채널 돌파 entryN=63, exitN=77 |
11.0% | -79.6% | 0.47 | 0.14 | 12.0x | 37 | 53% |
| EMA 크로스오버 fast=22, slow=181 |
10.2% | -82.5% | 0.45 | 0.12 | 10.1x | 45 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.5 |
8.7% | -84.0% | 0.42 | 0.10 | 7.3x | 255 | 37% |
| ADX / DI 방향성 period=13, threshold=26 |
6.6% | -71.4% | 0.37 | 0.09 | 4.6x | 202 | 27% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=1.7 |
5.4% | -79.6% | 0.33 | 0.07 | 3.5x | 139 | 37% |
| Buy and hold | 13.4% | -78.6% | 0.51 | 0.17 | 19.8x | 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