Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guizhou Space Appliance Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guizhou Space Appliance Co., Ltd. Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 15.3%, MDD -49.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -77.5%).
Sharpe leader (same as main): MACD — CAGR 15.3%, MDD -49.7%, Sharpe 0.60, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.5%, MDD -56.0%, exposure 56%.
Return/drawdown alternative: MACD — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 15.3%, MDD -49.7%, exposure 49%).
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=13, slow=22, signal=17 |
15.3% | -49.7% | 0.60 | 0.31 | 22.8x | 298 | 49% |
| SMA 크로스오버 fast=67, slow=156 |
15.5% | -56.0% | 0.59 | 0.28 | 23.7x | 35 | 56% |
| Supertrend period=9, mult=2.4 |
8.9% | -62.6% | 0.43 | 0.14 | 6.5x | 180 | 56% |
| Parabolic SAR step=0.015, maxStep=0.26 |
8.7% | -67.6% | 0.42 | 0.13 | 6.3x | 364 | 49% |
| 볼린저 밴드 돌파 n=22, k=1 |
7.7% | -53.5% | 0.40 | 0.14 | 5.2x | 282 | 46% |
| Donchian 채널 돌파 entryN=9, exitN=52 |
7.2% | -70.8% | 0.38 | 0.10 | 4.6x | 87 | 84% |
| EMA 크로스오버 fast=77, slow=224 |
4.5% | -72.0% | 0.31 | 0.06 | 2.7x | 27 | 64% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=8, mult=1.2 |
4.5% | -59.2% | 0.30 | 0.08 | 2.6x | 228 | 38% |
| ROC 모멘텀 n=114, threshold=-0.03 |
2.5% | -77.2% | 0.26 | 0.03 | 1.7x | 239 | 65% |
| ADX / DI 방향성 period=27, threshold=31 |
2.0% | -25.0% | 0.23 | 0.08 | 1.5x | 12 | 4% |
| Buy and hold | 15.7% | -77.5% | 0.55 | 0.20 | 24.9x | 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 (13/22) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line