Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Avary Holding (Shenzhen) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Avary Holding (Shenzhen) Co., Ltd. Class A. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.7%, MDD -25.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.5%, drawdown -71.3%).
Sharpe leader (same as main): MACD — CAGR 23.8%, MDD -48.4%, Sharpe 0.80, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 16.7%, MDD -25.9%, exposure 18%).
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=17, slow=39, signal=19 |
23.8% | -48.4% | 0.80 | 0.49 | 5.3x | 72 | 53% |
| SMA 크로스오버 fast=22, slow=33 |
22.6% | -57.7% | 0.74 | 0.39 | 5.0x | 60 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=3.8 |
16.7% | -25.9% | 0.74 | 0.64 | 3.4x | 10 | 18% |
| Donchian 채널 돌파 entryN=16, exitN=63 |
23.8% | -50.2% | 0.72 | 0.47 | 5.3x | 21 | 76% |
| 볼린저 밴드 돌파 n=27, k=1.3 |
17.0% | -54.7% | 0.65 | 0.31 | 3.4x | 72 | 41% |
| Supertrend period=15, mult=2.6 |
17.7% | -50.1% | 0.63 | 0.35 | 3.6x | 56 | 57% |
| ROC 모멘텀 n=149, threshold=0.13 |
14.7% | -45.3% | 0.57 | 0.32 | 2.9x | 33 | 39% |
| ADX / DI 방향성 period=18, threshold=26 |
11.6% | -25.5% | 0.57 | 0.45 | 2.4x | 22 | 18% |
| EMA 크로스오버 fast=12, slow=174 |
13.1% | -56.7% | 0.52 | 0.23 | 2.6x | 13 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.6% | -72.3% | 0.28 | 0.05 | 1.3x | 70 | 54% |
| Buy and hold | 18.5% | -71.3% | 0.60 | 0.26 | 3.8x | 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 (17/39) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line