Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuhan DR Laser Technology Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wuhan DR Laser Technology Corp. Ltd. Class A. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 25.9%, MDD -34.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 26.9%, drawdown -75.4%).
Sharpe leader (same as main): MACD — CAGR 41.3%, MDD -39.7%, Sharpe 1.03, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 25.9%, MDD -34.8%, exposure 31%).
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=13, slow=46, signal=19 |
41.3% | -39.7% | 1.03 | 1.04 | 12.4x | 59 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
34.3% | -55.1% | 0.91 | 0.62 | 8.6x | 54 | 47% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=21, mult=1.5 |
25.9% | -34.8% | 0.81 | 0.74 | 5.4x | 48 | 31% |
| Supertrend period=14, mult=1.8 |
27.0% | -43.5% | 0.79 | 0.62 | 5.7x | 80 | 44% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
22.7% | -42.5% | 0.73 | 0.53 | 4.4x | 60 | 34% |
| ROC 모멘텀 n=26, threshold=0.08 |
22.0% | -38.3% | 0.72 | 0.57 | 4.3x | 98 | 33% |
| Donchian 채널 돌파 entryN=21, exitN=11 |
19.8% | -47.2% | 0.66 | 0.42 | 3.7x | 45 | 38% |
| ADX / DI 방향성 period=10, threshold=22 |
17.9% | -41.3% | 0.60 | 0.43 | 3.3x | 124 | 47% |
| EMA 크로스오버 fast=35, slow=217 |
15.8% | -55.8% | 0.55 | 0.28 | 2.9x | 9 | 53% |
| SMA 크로스오버 fast=57, slow=176 |
11.6% | -62.0% | 0.47 | 0.19 | 2.2x | 11 | 54% |
| Buy and hold | 26.9% | -75.4% | 0.71 | 0.36 | 5.7x | 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 (13/46) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line