Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China National Software & Service Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China National Software & Service Company Limited Class A. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.9%, MDD -54.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.1%, drawdown -82.0%).
Sharpe leader (same as main): MACD — CAGR 16.1%, MDD -68.5%, Sharpe 0.59, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 9.9%, MDD -54.9%, exposure 21%).
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=8, slow=24, signal=12 |
16.1% | -68.5% | 0.59 | 0.24 | 37.1x | 449 | 50% |
| Donchian 채널 돌파 entryN=90, exitN=51 |
14.4% | -58.1% | 0.57 | 0.25 | 26.1x | 30 | 38% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
10.4% | -55.5% | 0.49 | 0.19 | 10.9x | 188 | 24% |
| ROC 모멘텀 n=95, threshold=0.24 |
9.9% | -54.9% | 0.47 | 0.18 | 9.8x | 152 | 21% |
| Parabolic SAR step=0.01, maxStep=0.2 |
10.8% | -70.5% | 0.47 | 0.15 | 12.0x | 292 | 46% |
| SMA 크로스오버 fast=54, slow=206 |
10.5% | -68.9% | 0.46 | 0.15 | 11.1x | 34 | 45% |
| Supertrend period=28, mult=1.6 |
9.6% | -66.9% | 0.44 | 0.14 | 9.3x | 364 | 43% |
| EMA 크로스오버 fast=55, slow=197 |
9.1% | -68.9% | 0.42 | 0.13 | 8.2x | 30 | 48% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=3.4 |
6.7% | -42.2% | 0.39 | 0.16 | 4.8x | 52 | 14% |
| ADX / DI 방향성 period=20, threshold=28 |
4.4% | -48.9% | 0.30 | 0.09 | 2.8x | 68 | 15% |
| Buy and hold | 8.1% | -82.0% | 0.41 | 0.10 | 6.5x | 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 (8/24) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line