Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Anji Microelectronics Technology (Shanghai) Co.Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Anji Microelectronics Technology (Shanghai) Co.Ltd. 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 25.3%, MDD -49.3%).

Data 2019-07-22 ~ 2026-07-31daily bars 1,705 (7.0 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 25.1%, drawdown -65.2%).

Sharpe leader (same as main): MACD — CAGR 34.8%, MDD -62.1%, Sharpe 0.90, 48% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 3.1%p (CAGR 25.3%, MDD -49.3%, exposure 55%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=7, slow=26, signal=35
34.8%-62.1%0.900.568.1x8648%
SMA 크로스오버
fast=7, slow=44
25.3%-49.3%0.720.514.9x4655%
EMA 크로스오버
fast=10, slow=29
23.9%-54.3%0.700.444.5x5054%
Donchian 채널 돌파
entryN=9, exitN=66
24.9%-71.6%0.680.354.8x1984%
볼린저 밴드 돌파
n=40, k=1.2
21.4%-51.7%0.670.413.9x5244%
ADX / DI 방향성
period=25, threshold=10
19.4%-62.0%0.610.313.5x7164%
ROC 모멘텀
n=122, threshold=0.19
15.7%-56.2%0.570.282.8x6637%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=18, mult=0.8
15.0%-46.8%0.550.322.7x6646%
Supertrend
period=29, mult=1.8
12.9%-50.4%0.500.262.3x8848%
Parabolic SAR
step=0.015, maxStep=0.28
10.9%-54.7%0.460.202.1x12247%
Buy and hold25.1%-65.2%0.680.384.8x1100%
1x 2020 2021 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -33% -49% -65% 2020 2021 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -62.1% (2020-07-14 → 2021-05-10), recovered after 757 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next