Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Enlight Media Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Enlight Media Co., Ltd. Class A. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.6%, MDD -39.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.7%, drawdown -69.0%).
Sharpe leader (same as main): MACD — CAGR 16.0%, MDD -64.7%, Sharpe 0.58, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 4.3%p (CAGR 9.6%, MDD -39.2%, exposure 15%).
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=22, signal=15 |
16.0% | -64.7% | 0.58 | 0.25 | 9.4x | 202 | 53% |
| SMA 크로스오버 fast=89, slow=228 |
13.3% | -54.4% | 0.52 | 0.24 | 6.6x | 16 | 42% |
| Donchian 채널 돌파 entryN=42, exitN=6 |
10.7% | -41.2% | 0.50 | 0.26 | 4.7x | 72 | 20% |
| 볼린저 밴드 돌파 n=14, k=2.5 |
9.6% | -39.2% | 0.49 | 0.24 | 4.0x | 84 | 15% |
| Supertrend period=29, mult=3.4 |
10.7% | -71.6% | 0.46 | 0.15 | 4.7x | 79 | 46% |
| Parabolic SAR step=0.01, maxStep=0.12 |
9.8% | -66.9% | 0.44 | 0.15 | 4.1x | 186 | 45% |
| ADX / DI 방향성 period=36, threshold=15 |
8.1% | -66.3% | 0.40 | 0.12 | 3.3x | 66 | 34% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=3 |
7.6% | -57.4% | 0.40 | 0.13 | 3.0x | 46 | 19% |
| EMA 크로스오버 fast=48, slow=234 |
7.1% | -71.1% | 0.38 | 0.10 | 2.8x | 22 | 49% |
| ROC 모멘텀 n=94, threshold=0.12 |
5.8% | -85.3% | 0.34 | 0.07 | 2.3x | 110 | 30% |
| Buy and hold | 8.7% | -69.0% | 0.42 | 0.13 | 3.5x | 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 (15/22) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line