Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Han's Laser Technology Industry Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Han's Laser Technology Industry Group Co., Ltd. Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 15.9%, MDD -47.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.0%, drawdown -76.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.5%, MDD -73.1%, Sharpe 0.67, 57% exposure.
Return/drawdown alternative: MACD — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 3.4%p (CAGR 15.9%, MDD -47.1%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=154 |
19.5% | -73.1% | 0.67 | 0.27 | 51.6x | 35 | 57% |
| Donchian 채널 돌파 entryN=87, exitN=65 |
18.4% | -67.4% | 0.66 | 0.27 | 42.3x | 28 | 54% |
| MACD fast=14, slow=21, signal=11 |
15.9% | -47.1% | 0.61 | 0.34 | 26.5x | 343 | 52% |
| ROC 모멘텀 n=50, threshold=-0.03 |
16.5% | -57.4% | 0.60 | 0.29 | 29.5x | 260 | 61% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
7.2% | -22.9% | 0.60 | 0.31 | 4.7x | 38 | 6% |
| EMA 크로스오버 fast=13, slow=53 |
15.9% | -68.9% | 0.60 | 0.23 | 26.3x | 106 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=2.2 |
13.3% | -55.4% | 0.57 | 0.24 | 16.0x | 102 | 35% |
| ADX / DI 방향성 period=37, threshold=7 |
14.6% | -75.9% | 0.57 | 0.19 | 20.5x | 224 | 54% |
| Supertrend period=7, mult=4.3 |
13.4% | -61.0% | 0.53 | 0.22 | 16.2x | 80 | 62% |
| Parabolic SAR step=0.015, maxStep=0.16 |
10.6% | -63.6% | 0.47 | 0.17 | 9.4x | 378 | 51% |
| Buy and hold | 16.0% | -76.5% | 0.56 | 0.21 | 26.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 37-day average falls below the 154-day average