Trend-Following Backtester · Guide · backtest 한국어
equity · US
Microvast Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Microvast Holdings, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 36.9%, MDD -58.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.8%, drawdown -99.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 36.9%, MDD -58.2%, Sharpe 0.79, 38% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 65.7%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 36.9%, MDD -58.2%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=19, slow=146 |
36.9% | -58.2% | 0.79 | 0.63 | 10.0x | 10 | 38% |
| ADX / DI 방향성 period=12, threshold=37 |
21.8% | -58.9% | 0.64 | 0.37 | 4.2x | 22 | 12% |
| 볼린저 밴드 돌파 n=16, k=3.1 |
19.1% | -62.0% | 0.60 | 0.31 | 3.6x | 16 | 9% |
| Donchian 채널 돌파 entryN=38, exitN=14 |
20.1% | -68.8% | 0.59 | 0.29 | 3.9x | 26 | 25% |
| EMA 크로스오버 fast=19, slow=151 |
18.2% | -74.4% | 0.55 | 0.24 | 3.4x | 10 | 36% |
| ROC 모멘텀 n=124, threshold=0.05 |
17.9% | -75.6% | 0.55 | 0.24 | 3.4x | 14 | 25% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=9, mult=2.1 |
14.2% | -80.6% | 0.50 | 0.18 | 2.7x | 32 | 19% |
| Supertrend period=17, mult=4.9 |
9.0% | -95.9% | 0.40 | 0.09 | 1.9x | 18 | 51% |
| Parabolic SAR step=0.035, maxStep=0.14 |
2.7% | -83.2% | 0.37 | 0.03 | 1.2x | 190 | 42% |
| MACD fast=20, slow=34, signal=23 |
-8.1% | -98.1% | 0.31 | -0.08 | 0.5x | 78 | 49% |
| Buy and hold | -28.8% | -99.3% | 0.24 | -0.29 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 19-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 19-day average falls below the 146-day average