Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Shenling Environmental Systems Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Shenling Environmental Systems Co., Ltd. Class A. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 64.5%, MDD -35.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 27.8%, drawdown -70.6%).
Sharpe leader (same as main): MACD — CAGR 64.5%, MDD -35.1%, Sharpe 1.23, 48% exposure.
Return/drawdown alternative: MACD — CAGR is 36.7%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 64.5%, MDD -35.1%, exposure 48%).
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=12, slow=22, signal=18 |
64.5% | -35.1% | 1.23 | 1.84 | 12.5x | 60 | 48% |
| Parabolic SAR step=0.02, maxStep=0.38 |
49.7% | -45.0% | 1.04 | 1.10 | 7.7x | 102 | 48% |
| 볼린저 밴드 돌파 n=13, k=1.1 |
40.1% | -56.3% | 0.93 | 0.71 | 5.5x | 82 | 39% |
| ROC 모멘텀 n=48, threshold=0.14 |
39.7% | -45.7% | 0.92 | 0.87 | 5.4x | 30 | 35% |
| SMA 크로스오버 fast=14, slow=224 |
39.7% | -45.8% | 0.88 | 0.87 | 5.4x | 3 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=3.8 |
30.6% | -35.2% | 0.85 | 0.87 | 3.9x | 8 | 22% |
| EMA 크로스오버 fast=30, slow=243 |
35.1% | -45.8% | 0.82 | 0.77 | 4.6x | 3 | 53% |
| Supertrend period=18, mult=1.7 |
33.4% | -57.3% | 0.82 | 0.58 | 4.3x | 70 | 48% |
| Donchian 채널 돌파 entryN=79, exitN=77 |
29.4% | -50.4% | 0.75 | 0.58 | 3.7x | 5 | 47% |
| ADX / DI 방향성 period=22, threshold=25 |
21.4% | -38.0% | 0.67 | 0.56 | 2.7x | 14 | 23% |
| Buy and hold | 27.8% | -70.6% | 0.71 | 0.39 | 3.5x | 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 (12/22) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line