Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu King's Luck Brewery Joint-stock Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu King's Luck Brewery Joint-stock 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 9.2%, MDD -35.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.1%, drawdown -64.3%).
Sharpe leader (same as main): MACD — CAGR 13.8%, MDD -45.0%, Sharpe 0.60, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 9.2%, MDD -35.8%, exposure 50%).
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=52, signal=18 |
13.8% | -45.0% | 0.60 | 0.31 | 4.8x | 103 | 47% |
| SMA 크로스오버 fast=25, slow=42 |
10.3% | -44.8% | 0.48 | 0.23 | 3.3x | 75 | 50% |
| Supertrend period=23, mult=2.6 |
9.2% | -35.8% | 0.45 | 0.26 | 2.9x | 91 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=41 |
8.5% | -40.4% | 0.42 | 0.21 | 2.7x | 49 | 66% |
| 볼린저 밴드 돌파 n=33, k=1.7 |
7.1% | -34.9% | 0.40 | 0.20 | 2.3x | 77 | 34% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=1.8 |
3.9% | -46.0% | 0.29 | 0.08 | 1.6x | 74 | 20% |
| Parabolic SAR step=0.025, maxStep=0.08 |
3.9% | -51.9% | 0.28 | 0.08 | 1.6x | 212 | 49% |
| EMA 크로스오버 fast=24, slow=56 |
3.7% | -53.0% | 0.28 | 0.07 | 1.6x | 47 | 52% |
| ADX / DI 방향성 period=22, threshold=39 |
1.4% | -18.3% | 0.22 | 0.08 | 1.2x | 6 | 2% |
| ROC 모멘텀 n=123, threshold=0.09 |
-0.9% | -53.2% | 0.11 | -0.02 | 0.9x | 90 | 36% |
| Buy and hold | 9.1% | -64.3% | 0.42 | 0.14 | 2.9x | 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 (18/52) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line