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 49.7%, MDD -43.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 52.5%, drawdown -57.8%).
Sharpe leader (same as main): MACD — CAGR 49.7%, MDD -43.9%, Sharpe 1.07, 45% exposure.
Return/drawdown alternative: MACD — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 13.9%p (CAGR 49.7%, MDD -43.9%, exposure 45%).
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 |
49.7% | -43.9% | 1.07 | 1.13 | 21.1x | 50 | 45% |
| Donchian 채널 돌파 entryN=27, exitN=15 |
33.5% | -49.2% | 0.85 | 0.68 | 8.9x | 34 | 40% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=24, mult=2.7 |
28.5% | -35.1% | 0.85 | 0.81 | 6.7x | 28 | 23% |
| 볼린저 밴드 돌파 n=29, k=1.7 |
27.9% | -58.8% | 0.77 | 0.48 | 6.4x | 58 | 35% |
| ROC 모멘텀 n=135, threshold=0.03 |
31.4% | -54.5% | 0.77 | 0.58 | 7.9x | 45 | 61% |
| Parabolic SAR step=0.005, maxStep=0.36 |
29.3% | -60.3% | 0.76 | 0.49 | 7.0x | 60 | 51% |
| EMA 크로스오버 fast=8, slow=237 |
29.4% | -48.0% | 0.74 | 0.61 | 7.0x | 17 | 67% |
| Supertrend period=19, mult=2.5 |
25.4% | -67.7% | 0.70 | 0.38 | 5.5x | 58 | 48% |
| ADX / DI 방향성 period=8, threshold=29 |
22.3% | -51.6% | 0.67 | 0.43 | 4.6x | 96 | 32% |
| SMA 크로스오버 fast=18, slow=195 |
21.8% | -52.4% | 0.63 | 0.42 | 4.4x | 13 | 65% |
| Buy and hold | 52.5% | -57.8% | 0.97 | 0.91 | 24.2x | 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