Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Kinwong Electronic Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Kinwong Electronic Co., Ltd. Class A. 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 18.5%, drawdown -59.9%).
Sharpe leader (same as main): MACD — CAGR 9.3%, MDD -50.5%, Sharpe 0.44, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.6%, MDD -56.3%, exposure 54%.
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=13, slow=47, signal=14 |
9.3% | -50.5% | 0.44 | 0.18 | 2.4x | 117 | 49% |
| SMA 크로스오버 fast=44, slow=316 |
9.6% | -56.3% | 0.44 | 0.17 | 2.4x | 13 | 54% |
| EMA 크로스오버 fast=57, slow=222 |
9.3% | -50.8% | 0.43 | 0.18 | 2.4x | 11 | 60% |
| Donchian 채널 돌파 entryN=31, exitN=74 |
9.4% | -53.9% | 0.43 | 0.17 | 2.4x | 17 | 71% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=3.5 |
3.2% | -12.4% | 0.41 | 0.26 | 1.4x | 4 | 2% |
| ROC 모멘텀 n=263, threshold=-0.07 |
7.4% | -68.7% | 0.38 | 0.11 | 2.0x | 67 | 64% |
| 볼린저 밴드 돌파 n=43, k=2.9 |
5.9% | -34.1% | 0.37 | 0.17 | 1.7x | 23 | 19% |
| Supertrend period=29, mult=1.1 |
6.1% | -51.6% | 0.35 | 0.12 | 1.8x | 217 | 47% |
| Parabolic SAR step=0.025, maxStep=0.12 |
4.8% | -55.5% | 0.31 | 0.09 | 1.6x | 216 | 48% |
| ADX / DI 방향성 period=6, threshold=28 |
4.6% | -47.9% | 0.30 | 0.10 | 1.5x | 213 | 38% |
| Buy and hold | 18.5% | -59.9% | 0.61 | 0.31 | 5.1x | 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 (13/47) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line