Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuhan Jingce Electronic Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wuhan Jingce Electronic Group Co., Ltd. Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 37.6%, drawdown -60.7%).
Sharpe leader (same as main): MACD — CAGR 22.7%, MDD -64.2%, Sharpe 0.72, 49% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 22.9%, MDD -65.0%, exposure 78%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=26, signal=29 |
22.7% | -64.2% | 0.72 | 0.35 | 7.4x | 94 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
22.1% | -55.2% | 0.70 | 0.40 | 7.0x | 84 | 45% |
| Supertrend period=8, mult=4.1 |
22.4% | -47.1% | 0.68 | 0.48 | 7.2x | 34 | 59% |
| Donchian 채널 돌파 entryN=19, exitN=69 |
22.9% | -65.0% | 0.67 | 0.35 | 7.5x | 19 | 78% |
| ROC 모멘텀 n=129, threshold=-0.02 |
19.4% | -51.7% | 0.63 | 0.38 | 5.6x | 73 | 60% |
| SMA 크로스오버 fast=8, slow=150 |
19.1% | -61.5% | 0.62 | 0.31 | 5.5x | 29 | 56% |
| 볼린저 밴드 돌파 n=35, k=2.9 |
13.7% | -50.0% | 0.59 | 0.27 | 3.5x | 28 | 20% |
| ADX / DI 방향성 period=21, threshold=22 |
14.6% | -55.7% | 0.57 | 0.26 | 3.8x | 42 | 28% |
| EMA 크로스오버 fast=16, slow=184 |
15.0% | -64.7% | 0.54 | 0.23 | 3.9x | 27 | 57% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=1.9 |
8.2% | -53.8% | 0.40 | 0.15 | 2.2x | 50 | 35% |
| Buy and hold | 37.6% | -60.7% | 0.86 | 0.62 | 22.6x | 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 (15/26) crosses above its 29-day signal line
- Sell — Sell when the MACD line crosses back below the signal line