Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Lincang Xinyuan Germanium Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Lincang Xinyuan Germanium Industry 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 19.8%, MDD -53.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -83.6%).
Sharpe leader (same as main): MACD — CAGR 19.8%, MDD -53.1%, Sharpe 0.68, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 19.8%, MDD -53.1%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=28, signal=19 |
19.8% | -53.1% | 0.68 | 0.37 | 18.5x | 176 | 52% |
| 볼린저 밴드 돌파 n=42, k=1.8 |
10.0% | -53.7% | 0.45 | 0.19 | 4.7x | 90 | 35% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=4 |
8.2% | -42.3% | 0.44 | 0.19 | 3.6x | 22 | 13% |
| Donchian 채널 돌파 entryN=18, exitN=65 |
8.9% | -80.3% | 0.42 | 0.11 | 4.0x | 45 | 76% |
| EMA 크로스오버 fast=8, slow=30 |
8.6% | -68.9% | 0.41 | 0.12 | 3.8x | 154 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.4% | -67.0% | 0.38 | 0.11 | 3.2x | 126 | 48% |
| ADX / DI 방향성 period=24, threshold=13 |
6.5% | -67.3% | 0.36 | 0.10 | 2.8x | 176 | 52% |
| ROC 모멘텀 n=87, threshold=0.04 |
5.6% | -70.6% | 0.34 | 0.08 | 2.4x | 169 | 46% |
| Supertrend period=17, mult=1.6 |
4.6% | -72.8% | 0.31 | 0.06 | 2.1x | 256 | 48% |
| SMA 크로스오버 fast=59, slow=147 |
2.7% | -83.1% | 0.27 | 0.03 | 1.5x | 33 | 53% |
| Buy and hold | 11.4% | -83.6% | 0.48 | 0.14 | 5.7x | 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 (15/28) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line