Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Advanced Micro-Fabrication Equipment Inc. China Class A backtest
10 trend-following strategies were compared on the full daily history of Advanced Micro-Fabrication Equipment Inc. China Class A. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 42.4%, MDD -42.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 30.5%, drawdown -71.9%).
Sharpe leader (same as main): MACD — CAGR 42.1%, MDD -48.2%, Sharpe 1.03, 47% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 42.4%, MDD -42.3%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 42.4%, MDD -42.3%, 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=10, slow=55, signal=11 |
42.1% | -48.2% | 1.03 | 0.87 | 12.2x | 88 | 47% |
| SMA 크로스오버 fast=20, slow=32 |
42.4% | -42.3% | 1.02 | 1.00 | 12.3x | 54 | 50% |
| Donchian 채널 돌파 entryN=46, exitN=36 |
29.1% | -44.2% | 0.79 | 0.66 | 6.1x | 17 | 44% |
| ROC 모멘텀 n=37, threshold=-0.03 |
28.5% | -54.4% | 0.77 | 0.52 | 6.0x | 90 | 57% |
| Supertrend period=16, mult=4 |
24.7% | -47.9% | 0.72 | 0.52 | 4.8x | 26 | 55% |
| 볼린저 밴드 돌파 n=48, k=1.3 |
23.3% | -55.3% | 0.72 | 0.42 | 4.4x | 42 | 39% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=2.5 |
21.7% | -41.1% | 0.70 | 0.53 | 4.1x | 30 | 31% |
| EMA 크로스오버 fast=14, slow=21 |
20.3% | -62.2% | 0.64 | 0.33 | 3.7x | 56 | 50% |
| ADX / DI 방향성 period=38, threshold=16 |
16.9% | -54.6% | 0.58 | 0.31 | 3.0x | 19 | 39% |
| Parabolic SAR step=0.02, maxStep=0.26 |
15.3% | -68.1% | 0.55 | 0.23 | 2.8x | 154 | 48% |
| Buy and hold | 30.5% | -71.9% | 0.76 | 0.42 | 6.6x | 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 (10/55) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line