Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang CFMoto Power Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang CFMoto Power Co. Ltd. Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.1%, MDD -39.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 34.1%, drawdown -70.0%).
Sharpe leader (same as main): MACD — CAGR 29.6%, MDD -51.6%, Sharpe 0.92, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 18.4%p (CAGR 28.1%, MDD -39.6%, exposure 52%).
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=13, slow=50, signal=13 |
29.6% | -51.6% | 0.92 | 0.57 | 10.6x | 104 | 52% |
| ROC 모멘텀 n=32, threshold=0.11 |
24.9% | -37.5% | 0.91 | 0.66 | 7.6x | 106 | 33% |
| 볼린저 밴드 돌파 n=35, k=1.5 |
24.6% | -41.9% | 0.88 | 0.59 | 7.4x | 50 | 39% |
| SMA 크로스오버 fast=34, slow=58 |
28.1% | -39.6% | 0.88 | 0.71 | 9.5x | 37 | 52% |
| Donchian 채널 돌파 entryN=27, exitN=16 |
25.0% | -50.2% | 0.88 | 0.50 | 7.7x | 40 | 39% |
| Parabolic SAR step=0.03, maxStep=0.08 |
28.2% | -55.3% | 0.86 | 0.51 | 9.6x | 166 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=3.1 |
19.5% | -28.9% | 0.85 | 0.67 | 5.1x | 18 | 19% |
| ADX / DI 방향성 period=14, threshold=30 |
16.8% | -42.6% | 0.74 | 0.39 | 4.1x | 52 | 24% |
| Supertrend period=31, mult=3.9 |
20.7% | -43.5% | 0.72 | 0.48 | 5.6x | 35 | 53% |
| EMA 크로스오버 fast=23, slow=98 |
19.2% | -44.0% | 0.67 | 0.44 | 5.0x | 25 | 55% |
| Buy and hold | 34.1% | -70.0% | 0.85 | 0.49 | 14.6x | 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 (13/50) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line