Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Xi'an Bright Laser Technologies Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Xi'an Bright Laser Technologies Co. Ltd. Class A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 16.1%, MDD -45.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.3%, drawdown -60.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.5%, MDD -56.9%, Sharpe 0.61, 60% exposure.
Return/drawdown alternative: MACD — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 3.9%p (CAGR 16.1%, MDD -45.6%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=142, threshold=-0.01 |
19.5% | -56.9% | 0.61 | 0.34 | 3.5x | 32 | 60% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
12.1% | -34.3% | 0.59 | 0.35 | 2.2x | 8 | 9% |
| MACD fast=14, slow=36, signal=11 |
16.1% | -45.6% | 0.56 | 0.35 | 2.9x | 86 | 49% |
| Supertrend period=24, mult=1.6 |
15.8% | -49.6% | 0.56 | 0.32 | 2.8x | 102 | 47% |
| EMA 크로스오버 fast=46, slow=164 |
16.1% | -53.1% | 0.56 | 0.30 | 2.8x | 7 | 61% |
| Donchian 채널 돌파 entryN=88, exitN=51 |
13.6% | -39.2% | 0.52 | 0.35 | 2.5x | 10 | 50% |
| Parabolic SAR step=0.05, maxStep=0.12 |
13.3% | -44.6% | 0.51 | 0.30 | 2.4x | 192 | 48% |
| ADX / DI 방향성 period=36, threshold=17 |
12.4% | -40.6% | 0.50 | 0.30 | 2.3x | 22 | 42% |
| SMA 크로스오버 fast=22, slow=219 |
12.9% | -61.4% | 0.50 | 0.21 | 2.3x | 7 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=2.4 |
8.2% | -40.4% | 0.40 | 0.20 | 1.7x | 24 | 29% |
| Buy and hold | 19.3% | -60.8% | 0.60 | 0.32 | 3.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 142-day return is greater than -1%
- Sell — Sell when the 142-day return drops to -1% or below