Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Fudan Microelectronics Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Fudan Microelectronics Group Co., Ltd. Class A. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.6%, MDD -24.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.5%, drawdown -75.8%).
Sharpe leader (same as main): MACD — CAGR 21.1%, MDD -42.1%, Sharpe 0.68, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.7%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 11.6%, MDD -24.5%, exposure 12%).
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=8, slow=24, signal=19 |
21.1% | -42.1% | 0.68 | 0.50 | 2.6x | 75 | 45% |
| ROC 모멘텀 n=107, threshold=-0.05 |
20.8% | -46.1% | 0.66 | 0.45 | 2.6x | 22 | 54% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=26, mult=1.8 |
17.5% | -26.6% | 0.63 | 0.66 | 2.3x | 8 | 38% |
| SMA 크로스오버 fast=46, slow=145 |
15.8% | -46.9% | 0.59 | 0.34 | 2.1x | 4 | 46% |
| EMA 크로스오버 fast=40, slow=120 |
16.1% | -39.6% | 0.59 | 0.41 | 2.1x | 4 | 47% |
| Donchian 채널 돌파 entryN=62, exitN=78 |
15.5% | -38.7% | 0.57 | 0.40 | 2.1x | 4 | 47% |
| 볼린저 밴드 돌파 n=15, k=2.6 |
11.6% | -24.5% | 0.55 | 0.47 | 1.7x | 18 | 12% |
| Supertrend period=18, mult=3.5 |
11.0% | -55.9% | 0.46 | 0.20 | 1.7x | 20 | 56% |
| ADX / DI 방향성 period=33, threshold=13 |
10.7% | -48.3% | 0.46 | 0.22 | 1.7x | 30 | 46% |
| Parabolic SAR step=0.01, maxStep=0.14 |
8.8% | -59.5% | 0.41 | 0.15 | 1.5x | 63 | 46% |
| Buy and hold | 0.5% | -75.8% | 0.29 | 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 (8/24) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line