Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Astra Microwave Products Ltd. backtest
10 trend-following strategies were compared on the full daily history of Astra Microwave Products Ltd.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.8%, drawdown -88.1%).
Sharpe leader (same as main): MACD — CAGR 15.2%, MDD -79.6%, Sharpe 0.58, 48% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=10, slow=43, signal=12 |
15.2% | -79.6% | 0.58 | 0.19 | 22.0x | 334 | 48% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=3.6 |
9.6% | -44.3% | 0.57 | 0.22 | 7.3x | 34 | 14% |
| Donchian 채널 돌파 entryN=118, exitN=12 |
9.2% | -50.0% | 0.54 | 0.18 | 6.8x | 44 | 16% |
| 볼린저 밴드 돌파 n=26, k=2.9 |
9.6% | -52.5% | 0.52 | 0.18 | 7.5x | 80 | 19% |
| ROC 모멘텀 n=29, threshold=-0.03 |
10.3% | -90.5% | 0.45 | 0.11 | 8.5x | 419 | 61% |
| EMA 크로스오버 fast=55, slow=69 |
9.4% | -75.8% | 0.43 | 0.12 | 7.1x | 57 | 53% |
| Parabolic SAR step=0.015, maxStep=0.14 |
8.6% | -88.5% | 0.41 | 0.10 | 6.1x | 340 | 49% |
| ADX / DI 방향성 period=36, threshold=28 |
5.0% | -42.8% | 0.39 | 0.12 | 2.9x | 24 | 10% |
| SMA 크로스오버 fast=33, slow=173 |
7.2% | -76.4% | 0.38 | 0.09 | 4.6x | 45 | 50% |
| Supertrend period=23, mult=2 |
6.3% | -89.2% | 0.35 | 0.07 | 3.8x | 234 | 44% |
| Buy and hold | 20.8% | -88.1% | 0.64 | 0.24 | 62.0x | 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 (10/43) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line