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. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 69.4%, MDD -36.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 38.5%, drawdown -70.6%).
Sharpe leader (same as main): MACD — CAGR 69.4%, MDD -36.0%, Sharpe 1.27, 48% exposure.
Return/drawdown alternative: MACD — CAGR is 30.9%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 69.4%, MDD -36.0%, 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 |
69.4% | -36.0% | 1.27 | 1.93 | 15.1x | 61 | 48% |
| Parabolic SAR step=0.02, maxStep=0.38 |
50.3% | -45.0% | 1.04 | 1.12 | 8.2x | 105 | 49% |
| SMA 크로스오버 fast=14, slow=224 |
51.1% | -45.8% | 1.02 | 1.12 | 8.4x | 3 | 53% |
| EMA 크로스오버 fast=30, slow=243 |
46.2% | -45.8% | 0.96 | 1.01 | 7.1x | 3 | 54% |
| ROC 모멘텀 n=48, threshold=0.14 |
39.0% | -45.7% | 0.92 | 0.85 | 5.4x | 30 | 35% |
| 볼린저 밴드 돌파 n=13, k=1.1 |
38.6% | -56.3% | 0.91 | 0.69 | 5.4x | 85 | 39% |
| Donchian 채널 돌파 entryN=79, exitN=77 |
40.2% | -50.4% | 0.89 | 0.80 | 5.7x | 5 | 48% |
| Supertrend period=18, mult=1.7 |
37.8% | -57.3% | 0.88 | 0.66 | 5.2x | 71 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=3.8 |
30.0% | -35.2% | 0.84 | 0.85 | 3.9x | 8 | 21% |
| ADX / DI 방향성 period=22, threshold=25 |
21.0% | -38.0% | 0.67 | 0.55 | 2.7x | 14 | 23% |
| Buy and hold | 38.5% | -70.6% | 0.82 | 0.54 | 5.3x | 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