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. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.6%, MDD -44.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.5%, 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 8.2%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 18.6%, 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 | 27.1x | 210 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
20.3% | -54.1% | 0.71 | 0.37 | 19.6x | 192 | 49% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=0.9 |
18.6% | -44.8% | 0.67 | 0.42 | 15.7x | 164 | 42% |
| Supertrend period=11, mult=3.6 |
19.6% | -50.2% | 0.67 | 0.39 | 18.0x | 74 | 57% |
| ADX / DI 방향성 period=9, threshold=18 |
17.5% | -53.5% | 0.64 | 0.33 | 13.4x | 312 | 48% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
18.3% | -63.6% | 0.63 | 0.29 | 15.0x | 102 | 62% |
| 볼린저 밴드 돌파 n=36, k=0.8 |
16.8% | -48.6% | 0.63 | 0.35 | 12.2x | 138 | 44% |
| ROC 모멘텀 n=21, threshold=0.02 |
14.6% | -55.0% | 0.56 | 0.26 | 8.9x | 296 | 47% |
| SMA 크로스오버 fast=78, slow=235 |
14.0% | -69.7% | 0.54 | 0.20 | 8.2x | 15 | 53% |
| EMA 크로스오버 fast=47, slow=67 |
7.5% | -73.0% | 0.39 | 0.10 | 3.2x | 37 | 54% |
| Buy and hold | 14.5% | -69.3% | 0.53 | 0.21 | 8.9x | 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