Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Roborock Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Roborock Technology Co. Ltd. Class A. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.0%, MDD -30.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.4%, drawdown -78.4%).
Sharpe leader (same as main): MACD — CAGR 16.8%, MDD -37.9%, Sharpe 0.61, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 40.5%p (CAGR 12.0%, MDD -30.5%, exposure 21%).
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=11, slow=26, signal=17 |
16.8% | -37.9% | 0.61 | 0.44 | 2.8x | 89 | 54% |
| ADX / DI 방향성 period=24, threshold=22 |
12.0% | -30.5% | 0.60 | 0.39 | 2.1x | 24 | 21% |
| Donchian 채널 돌파 entryN=97, exitN=33 |
11.7% | -37.0% | 0.54 | 0.32 | 2.1x | 11 | 30% |
| ROC 모멘텀 n=45, threshold=0.04 |
13.2% | -55.8% | 0.53 | 0.24 | 2.2x | 71 | 43% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
9.1% | -39.7% | 0.45 | 0.23 | 1.8x | 23 | 30% |
| SMA 크로스오버 fast=49, slow=107 |
9.0% | -61.2% | 0.43 | 0.15 | 1.8x | 16 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=14, mult=2.8 |
7.9% | -38.3% | 0.42 | 0.21 | 1.6x | 21 | 22% |
| EMA 크로스오버 fast=17, slow=27 |
8.7% | -62.2% | 0.41 | 0.14 | 1.7x | 39 | 52% |
| Supertrend period=13, mult=3 |
7.9% | -65.9% | 0.39 | 0.12 | 1.6x | 35 | 56% |
| Parabolic SAR step=0.01, maxStep=0.16 |
7.8% | -33.5% | 0.39 | 0.23 | 1.6x | 79 | 51% |
| Buy and hold | -0.4% | -78.4% | 0.26 | -0.01 | 1.0x | 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 (11/26) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line