Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Quartz Crystal Optoelectronic Technology Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Quartz Crystal Optoelectronic Technology Co Ltd Class A. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.3%, MDD -47.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.3%, drawdown -92.1%).
Sharpe leader (same as main): MACD — CAGR 14.7%, MDD -72.8%, Sharpe 0.57, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 6.3%, MDD -47.9%, exposure 20%).
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=18, slow=57, signal=14 |
14.7% | -72.8% | 0.57 | 0.20 | 11.7x | 180 | 51% |
| Supertrend period=26, mult=1.7 |
14.0% | -59.5% | 0.55 | 0.24 | 10.4x | 254 | 51% |
| Donchian 채널 돌파 entryN=9, exitN=44 |
12.4% | -74.9% | 0.49 | 0.17 | 8.1x | 78 | 80% |
| 볼린저 밴드 돌파 n=39, k=1.5 |
10.4% | -48.7% | 0.47 | 0.21 | 5.8x | 112 | 38% |
| ROC 모멘텀 n=12, threshold=0.01 |
7.8% | -69.9% | 0.39 | 0.11 | 3.8x | 478 | 48% |
| Parabolic SAR step=0.02, maxStep=0.22 |
7.4% | -69.0% | 0.39 | 0.11 | 3.6x | 360 | 51% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=24, mult=2.5 |
6.3% | -47.9% | 0.37 | 0.13 | 3.0x | 78 | 20% |
| ADX / DI 방향성 period=12, threshold=18 |
6.1% | -54.9% | 0.35 | 0.11 | 2.9x | 288 | 46% |
| SMA 크로스오버 fast=46, slow=91 |
4.7% | -68.4% | 0.32 | 0.07 | 2.3x | 53 | 55% |
| EMA 크로스오버 fast=22, slow=162 |
4.2% | -73.9% | 0.31 | 0.06 | 2.1x | 44 | 55% |
| Buy and hold | 4.3% | -92.1% | 0.37 | 0.05 | 2.1x | 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 (18/57) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line