Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huizhou Desay SV Automotive Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huizhou Desay SV Automotive Co., Ltd. Class A. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.1%, MDD -32.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.2%, drawdown -65.2%).
Sharpe leader (same as main): MACD — CAGR 25.0%, MDD -42.5%, Sharpe 0.81, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 22.1%, MDD -32.2%, exposure 31%).
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=18, slow=67, signal=18 |
25.0% | -42.5% | 0.81 | 0.59 | 6.8x | 67 | 48% |
| 볼린저 밴드 돌파 n=29, k=1.9 |
22.1% | -32.2% | 0.81 | 0.69 | 5.6x | 49 | 31% |
| SMA 크로스오버 fast=21, slow=28 |
24.2% | -38.8% | 0.79 | 0.62 | 6.4x | 77 | 50% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=1.7 |
20.3% | -32.6% | 0.78 | 0.62 | 4.9x | 46 | 28% |
| ADX / DI 방향성 period=10, threshold=27 |
19.5% | -38.5% | 0.74 | 0.51 | 4.6x | 76 | 33% |
| Supertrend period=30, mult=2.8 |
19.9% | -46.8% | 0.71 | 0.42 | 4.7x | 59 | 43% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
18.5% | -50.0% | 0.64 | 0.37 | 4.3x | 57 | 56% |
| EMA 크로스오버 fast=9, slow=26 |
15.5% | -42.2% | 0.59 | 0.37 | 3.5x | 70 | 47% |
| ROC 모멘텀 n=24, threshold=0.07 |
13.2% | -36.0% | 0.56 | 0.37 | 2.9x | 131 | 35% |
| Parabolic SAR step=0.045, maxStep=0.26 |
9.5% | -56.1% | 0.44 | 0.17 | 2.2x | 275 | 50% |
| Buy and hold | 14.2% | -65.2% | 0.52 | 0.22 | 3.1x | 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 (18/67) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line