Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jack Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jack 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 10.7%, drawdown -53.6%).
Sharpe leader (same as main): MACD — CAGR 6.3%, MDD -35.6%, Sharpe 0.36, 48% exposure.
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=23, slow=28, signal=28 |
6.3% | -35.6% | 0.36 | 0.18 | 1.8x | 82 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.6% | -49.9% | 0.34 | 0.11 | 1.7x | 72 | 50% |
| SMA 크로스오버 fast=58, slow=135 |
4.8% | -49.2% | 0.31 | 0.10 | 1.6x | 20 | 56% |
| Supertrend period=26, mult=2.7 |
4.2% | -45.4% | 0.29 | 0.09 | 1.5x | 60 | 48% |
| Donchian 채널 돌파 entryN=18, exitN=75 |
2.7% | -55.3% | 0.26 | 0.05 | 1.3x | 23 | 80% |
| 볼린저 밴드 돌파 n=49, k=1.1 |
1.8% | -45.9% | 0.20 | 0.04 | 1.2x | 64 | 42% |
| EMA 크로스오버 fast=35, slow=80 |
1.4% | -54.6% | 0.20 | 0.02 | 1.1x | 28 | 57% |
| ADX / DI 방향성 period=32, threshold=13 |
1.0% | -53.1% | 0.18 | 0.02 | 1.1x | 74 | 45% |
| ROC 모멘텀 n=81, threshold=-0.04 |
-0.2% | -59.2% | 0.16 | -0.00 | 1.0x | 84 | 66% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=2.5 |
-0.0% | -27.3% | 0.06 | -0.00 | 1.0x | 22 | 6% |
| Buy and hold | 10.7% | -53.6% | 0.46 | 0.20 | 2.7x | 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 (23/28) crosses above its 28-day signal line
- Sell — Sell when the MACD line crosses back below the signal line