Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anji Microelectronics Technology (Shanghai) Co.Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anji Microelectronics Technology (Shanghai) Co.Ltd. Class A. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.3%, MDD -49.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 25.1%, drawdown -65.2%).
Sharpe leader (same as main): MACD — CAGR 34.8%, MDD -62.1%, Sharpe 0.90, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 3.1%p (CAGR 25.3%, MDD -49.3%, exposure 55%).
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=7, slow=26, signal=35 |
34.8% | -62.1% | 0.90 | 0.56 | 8.1x | 86 | 48% |
| SMA 크로스오버 fast=7, slow=44 |
25.3% | -49.3% | 0.72 | 0.51 | 4.9x | 46 | 55% |
| EMA 크로스오버 fast=10, slow=29 |
23.9% | -54.3% | 0.70 | 0.44 | 4.5x | 50 | 54% |
| Donchian 채널 돌파 entryN=9, exitN=66 |
24.9% | -71.6% | 0.68 | 0.35 | 4.8x | 19 | 84% |
| 볼린저 밴드 돌파 n=40, k=1.2 |
21.4% | -51.7% | 0.67 | 0.41 | 3.9x | 52 | 44% |
| ADX / DI 방향성 period=25, threshold=10 |
19.4% | -62.0% | 0.61 | 0.31 | 3.5x | 71 | 64% |
| ROC 모멘텀 n=122, threshold=0.19 |
15.7% | -56.2% | 0.57 | 0.28 | 2.8x | 66 | 37% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=0.8 |
15.0% | -46.8% | 0.55 | 0.32 | 2.7x | 66 | 46% |
| Supertrend period=29, mult=1.8 |
12.9% | -50.4% | 0.50 | 0.26 | 2.3x | 88 | 48% |
| Parabolic SAR step=0.015, maxStep=0.28 |
10.9% | -54.7% | 0.46 | 0.20 | 2.1x | 122 | 47% |
| Buy and hold | 25.1% | -65.2% | 0.68 | 0.38 | 4.8x | 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 (7/26) crosses above its 35-day signal line
- Sell — Sell when the MACD line crosses back below the signal line