Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Fastprint Circuit Tech Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Fastprint Circuit Tech Co. Ltd. Class A. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -44.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.4%, drawdown -69.3%).
Sharpe leader (same as main): MACD — CAGR 22.7%, MDD -46.2%, Sharpe 0.76, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 17.5%, MDD -44.8%, exposure 42%).
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=62, signal=14 |
22.7% | -46.2% | 0.76 | 0.49 | 27.6x | 211 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
20.6% | -54.1% | 0.71 | 0.38 | 20.8x | 193 | 49% |
| Supertrend period=11, mult=3.6 |
19.5% | -50.2% | 0.67 | 0.39 | 18.0x | 74 | 57% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=0.9 |
17.5% | -44.8% | 0.65 | 0.39 | 13.7x | 166 | 42% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
18.3% | -63.6% | 0.63 | 0.29 | 15.2x | 103 | 62% |
| ADX / DI 방향성 period=9, threshold=18 |
17.2% | -53.5% | 0.63 | 0.32 | 13.1x | 315 | 48% |
| 볼린저 밴드 돌파 n=36, k=0.8 |
16.7% | -48.6% | 0.62 | 0.34 | 12.2x | 138 | 44% |
| SMA 크로스오버 fast=78, slow=235 |
15.8% | -69.7% | 0.58 | 0.23 | 10.8x | 15 | 54% |
| ROC 모멘텀 n=21, threshold=0.02 |
14.0% | -55.0% | 0.55 | 0.26 | 8.4x | 299 | 47% |
| EMA 크로스오버 fast=47, slow=67 |
9.3% | -73.0% | 0.43 | 0.13 | 4.2x | 37 | 55% |
| Buy and hold | 16.4% | -69.3% | 0.56 | 0.24 | 11.6x | 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 (9/62) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line