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 25.0%, MDD -49.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.9%, drawdown -65.2%).
Sharpe leader (same as main): MACD — CAGR 31.8%, MDD -62.1%, Sharpe 0.85, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 3.1%p (CAGR 25.0%, MDD -49.3%, exposure 54%).
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 |
31.8% | -62.1% | 0.85 | 0.51 | 7.1x | 88 | 48% |
| SMA 크로스오버 fast=7, slow=44 |
25.0% | -49.3% | 0.72 | 0.51 | 4.9x | 46 | 54% |
| EMA 크로스오버 fast=10, slow=29 |
23.6% | -54.3% | 0.70 | 0.43 | 4.5x | 50 | 53% |
| Donchian 채널 돌파 entryN=9, exitN=66 |
24.7% | -71.6% | 0.68 | 0.34 | 4.8x | 19 | 84% |
| 볼린저 밴드 돌파 n=40, k=1.2 |
21.1% | -51.7% | 0.67 | 0.41 | 3.9x | 52 | 44% |
| ADX / DI 방향성 period=25, threshold=10 |
17.3% | -62.0% | 0.58 | 0.28 | 3.1x | 73 | 64% |
| ROC 모멘텀 n=122, threshold=0.19 |
14.4% | -56.2% | 0.54 | 0.26 | 2.6x | 71 | 37% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=0.8 |
13.2% | -46.8% | 0.51 | 0.28 | 2.4x | 68 | 46% |
| Supertrend period=29, mult=1.8 |
10.6% | -50.4% | 0.45 | 0.21 | 2.0x | 89 | 48% |
| Parabolic SAR step=0.015, maxStep=0.28 |
9.4% | -54.7% | 0.43 | 0.17 | 1.9x | 124 | 47% |
| Buy and hold | 24.9% | -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