Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Kuaishou Technology Class B backtest
10 trend-following strategies were compared on the full daily history of Kuaishou Technology Class B. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.7%, drawdown -92.2%).
Sharpe leader (same as main): MACD — CAGR 14.5%, MDD -42.8%, Sharpe 0.54, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 44.2%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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=16, slow=31, signal=19 |
14.5% | -42.8% | 0.54 | 0.34 | 2.1x | 49 | 47% |
| Donchian 채널 돌파 entryN=15, exitN=10 |
10.3% | -34.1% | 0.46 | 0.30 | 1.7x | 35 | 35% |
| ROC 모멘텀 n=1, threshold=0.11 |
2.8% | -7.6% | 0.44 | 0.37 | 1.2x | 18 | 1% |
| Parabolic SAR step=0.03, maxStep=0.2 |
5.9% | -55.3% | 0.35 | 0.11 | 1.4x | 142 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=1.4 |
2.8% | -28.7% | 0.24 | 0.10 | 1.2x | 42 | 22% |
| 볼린저 밴드 돌파 n=38, k=1.5 |
2.6% | -28.4% | 0.23 | 0.09 | 1.2x | 26 | 25% |
| ADX / DI 방향성 period=33, threshold=25 |
0.1% | -0.5% | 0.14 | 0.11 | 1.0x | 2 | 0% |
| Supertrend period=13, mult=2 |
-2.0% | -50.7% | 0.14 | -0.04 | 0.9x | 57 | 41% |
| SMA 크로스오버 fast=8, slow=53 |
-1.9% | -36.0% | 0.12 | -0.05 | 0.9x | 30 | 38% |
| EMA 크로스오버 fast=59, slow=195 |
-2.2% | -36.1% | 0.03 | -0.06 | 0.9x | 4 | 22% |
| Buy and hold | -29.7% | -92.2% | -0.27 | -0.32 | 0.1x | 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 (16/31) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line