Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Mango Excellent Media Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Mango Excellent Media 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 8.2%, MDD -26.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.8%, drawdown -84.4%).
Sharpe leader (same as main): MACD — CAGR 21.1%, MDD -56.5%, Sharpe 0.71, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 8.2%, MDD -26.3%, exposure 9%).
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=17, slow=36, signal=17 |
21.1% | -56.5% | 0.71 | 0.37 | 9.1x | 93 | 52% |
| 볼린저 밴드 돌파 n=27, k=2.8 |
15.1% | -35.7% | 0.70 | 0.42 | 5.0x | 34 | 17% |
| Supertrend period=7, mult=3.3 |
19.2% | -48.6% | 0.66 | 0.40 | 7.6x | 52 | 46% |
| Parabolic SAR step=0.015, maxStep=0.18 |
18.0% | -57.6% | 0.63 | 0.31 | 6.7x | 181 | 43% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=3.4 |
8.2% | -26.3% | 0.50 | 0.31 | 2.5x | 20 | 9% |
| Donchian 채널 돌파 entryN=18, exitN=15 |
11.2% | -59.9% | 0.48 | 0.19 | 3.4x | 63 | 46% |
| ADX / DI 방향성 period=19, threshold=14 |
9.9% | -59.9% | 0.45 | 0.16 | 3.0x | 123 | 40% |
| ROC 모멘텀 n=148, threshold=-0.02 |
5.6% | -61.3% | 0.34 | 0.09 | 1.9x | 72 | 43% |
| SMA 크로스오버 fast=1, slow=181 |
4.4% | -60.0% | 0.30 | 0.07 | 1.6x | 60 | 40% |
| EMA 크로스오버 fast=1, slow=175 |
2.1% | -73.1% | 0.23 | 0.03 | 1.3x | 78 | 41% |
| Buy and hold | 6.8% | -84.4% | 0.39 | 0.08 | 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 (17/36) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line