Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Puya Semiconductor (Shanghai) Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Puya Semiconductor (Shanghai) Co. Ltd. Class A. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 61.5%, MDD -35.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 28.2%, drawdown -74.8%).
Sharpe leader (same as main): MACD — CAGR 61.5%, MDD -35.5%, Sharpe 1.19, 51% exposure.
Return/drawdown alternative: MACD — CAGR is 33.3%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 61.5%, MDD -35.5%, exposure 51%).
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=9, slow=30, signal=8 |
61.5% | -35.5% | 1.19 | 1.73 | 11.1x | 89 | 51% |
| Parabolic SAR step=0.025, maxStep=0.22 |
40.5% | -50.9% | 0.92 | 0.80 | 5.5x | 116 | 49% |
| Supertrend period=14, mult=4.4 |
41.3% | -62.8% | 0.90 | 0.66 | 5.7x | 16 | 61% |
| ROC 모멘텀 n=18, threshold=-0.04 |
39.5% | -52.0% | 0.87 | 0.76 | 5.3x | 89 | 61% |
| ADX / DI 방향성 period=12, threshold=15 |
38.1% | -51.7% | 0.86 | 0.74 | 5.1x | 80 | 56% |
| EMA 크로스오버 fast=26, slow=103 |
37.0% | -64.4% | 0.85 | 0.57 | 4.9x | 11 | 50% |
| SMA 크로스오버 fast=18, slow=140 |
33.1% | -64.4% | 0.79 | 0.51 | 4.2x | 13 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=2.2 |
22.8% | -34.3% | 0.74 | 0.67 | 2.8x | 28 | 16% |
| Donchian 채널 돌파 entryN=89, exitN=58 |
27.0% | -64.4% | 0.72 | 0.42 | 3.3x | 7 | 43% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
25.9% | -49.6% | 0.71 | 0.52 | 3.2x | 40 | 42% |
| Buy and hold | 28.2% | -74.8% | 0.71 | 0.38 | 3.5x | 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 (9/30) crosses above its 8-day signal line
- Sell — Sell when the MACD line crosses back below the signal line