Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Robotechnik Intelligent Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Robotechnik Intelligent Technology Co., Ltd. Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 50.9%, MDD -43.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 58.2%, drawdown -57.8%).
Sharpe leader (same as main): MACD — CAGR 50.9%, MDD -43.9%, Sharpe 1.09, 46% exposure.
Return/drawdown alternative: MACD — CAGR is 7.3%p lower than buy and hold, while drawdown improves by 13.9%p (CAGR 50.9%, MDD -43.9%, exposure 46%).
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=20, slow=38, signal=27 |
50.9% | -43.9% | 1.09 | 1.16 | 23.2x | 51 | 46% |
| Donchian 채널 돌파 entryN=27, exitN=15 |
33.7% | -49.2% | 0.86 | 0.69 | 9.2x | 35 | 40% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=24, mult=2.7 |
28.2% | -35.1% | 0.84 | 0.80 | 6.7x | 28 | 23% |
| ROC 모멘텀 n=135, threshold=0.03 |
36.5% | -54.5% | 0.83 | 0.67 | 10.8x | 45 | 61% |
| EMA 크로스오버 fast=8, slow=237 |
34.5% | -48.0% | 0.80 | 0.72 | 9.6x | 17 | 68% |
| Parabolic SAR step=0.005, maxStep=0.36 |
32.0% | -60.3% | 0.80 | 0.53 | 8.3x | 61 | 52% |
| 볼린저 밴드 돌파 n=29, k=1.7 |
28.2% | -58.8% | 0.77 | 0.48 | 6.7x | 59 | 35% |
| Supertrend period=19, mult=2.5 |
26.9% | -67.7% | 0.72 | 0.40 | 6.2x | 59 | 48% |
| SMA 크로스오버 fast=18, slow=195 |
26.6% | -52.4% | 0.70 | 0.51 | 6.1x | 13 | 66% |
| ADX / DI 방향성 period=8, threshold=29 |
21.8% | -51.6% | 0.67 | 0.42 | 4.5x | 100 | 32% |
| Buy and hold | 58.2% | -57.8% | 1.02 | 1.01 | 33.2x | 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 (20/38) crosses above its 27-day signal line
- Sell — Sell when the MACD line crosses back below the signal line