Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Inner Mongolia Xingye Silver and Tin Mining Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Inner Mongolia Xingye Silver and Tin Mining Co., Ltd. Class A. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 14.7%, MDD -55.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.7%, drawdown -75.7%).
Sharpe leader (same as main): MACD — CAGR 14.7%, MDD -55.0%, Sharpe 0.58, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 14.7%, MDD -55.0%, exposure 52%).
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=23, slow=27, signal=24 |
14.7% | -55.0% | 0.58 | 0.27 | 62.0x | 261 | 52% |
| Supertrend period=12, mult=3.3 |
13.4% | -65.7% | 0.53 | 0.20 | 43.0x | 167 | 54% |
| Parabolic SAR step=0.01, maxStep=0.12 |
12.8% | -64.0% | 0.52 | 0.20 | 37.2x | 355 | 52% |
| Donchian 채널 돌파 entryN=15, exitN=18 |
13.0% | -70.7% | 0.52 | 0.18 | 39.5x | 179 | 56% |
| 볼린저 밴드 돌파 n=19, k=1.4 |
11.8% | -65.8% | 0.52 | 0.18 | 28.2x | 353 | 38% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=2.1 |
10.7% | -60.9% | 0.49 | 0.18 | 21.1x | 137 | 34% |
| EMA 크로스오버 fast=58, slow=190 |
8.4% | -61.6% | 0.41 | 0.14 | 11.3x | 41 | 53% |
| ROC 모멘텀 n=105, threshold=0.13 |
7.5% | -72.5% | 0.39 | 0.10 | 8.7x | 206 | 34% |
| ADX / DI 방향성 period=21, threshold=29 |
6.0% | -52.3% | 0.39 | 0.11 | 5.7x | 68 | 14% |
| SMA 크로스오버 fast=15, slow=174 |
7.5% | -77.5% | 0.38 | 0.10 | 8.8x | 82 | 52% |
| Buy and hold | 13.7% | -75.7% | 0.51 | 0.18 | 47.3x | 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 (23/27) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line