Trend-Following Backtester · Guide · backtest 한국어
equity · CN
NARI Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of NARI Technology Co., Ltd. Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.6%, drawdown -57.6%).
Sharpe leader (same as main): MACD — CAGR 10.4%, MDD -74.7%, Sharpe 0.50, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.6%, MDD -64.0%, exposure 62%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, slow=37, signal=17 |
10.4% | -74.7% | 0.50 | 0.14 | 9.5x | 250 | 51% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
9.2% | -49.6% | 0.49 | 0.19 | 7.5x | 76 | 30% |
| Donchian 채널 돌파 entryN=59, exitN=72 |
10.6% | -64.0% | 0.48 | 0.17 | 10.1x | 38 | 62% |
| Supertrend period=23, mult=4.3 |
9.2% | -44.5% | 0.46 | 0.21 | 7.4x | 85 | 52% |
| SMA 크로스오버 fast=34, slow=232 |
8.2% | -61.6% | 0.41 | 0.13 | 6.1x | 42 | 61% |
| EMA 크로스오버 fast=26, slow=142 |
8.0% | -66.4% | 0.41 | 0.12 | 5.9x | 58 | 62% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=2.2 |
6.2% | -65.2% | 0.37 | 0.09 | 4.0x | 102 | 35% |
| ADX / DI 방향성 period=23, threshold=13 |
4.7% | -70.3% | 0.31 | 0.07 | 2.8x | 266 | 47% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.4% | -69.8% | 0.30 | 0.06 | 2.7x | 182 | 53% |
| ROC 모멘텀 n=37, threshold=0.03 |
2.1% | -81.0% | 0.22 | 0.03 | 1.6x | 366 | 46% |
| Buy and hold | 18.6% | -57.6% | 0.64 | 0.32 | 49.7x | 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 (18/37) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line