Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Circuit Fabology Microelectronics Equipment Co.,Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Circuit Fabology Microelectronics Equipment Co.,Ltd. Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 47.0%, MDD -32.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 51.4%, drawdown -56.6%).
Sharpe leader (same as main): MACD — CAGR 47.0%, MDD -32.4%, Sharpe 1.04, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 24.2%p (CAGR 47.0%, MDD -32.4%, exposure 50%).
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=17, slow=20, signal=16 |
47.0% | -32.4% | 1.04 | 1.45 | 8.0x | 63 | 50% |
| Supertrend period=20, mult=2.6 |
43.8% | -36.3% | 0.98 | 1.21 | 7.2x | 37 | 53% |
| SMA 크로스오버 fast=19, slow=34 |
38.1% | -60.9% | 0.90 | 0.63 | 5.7x | 33 | 55% |
| Donchian 채널 돌파 entryN=16, exitN=20 |
33.0% | -55.4% | 0.81 | 0.60 | 4.7x | 29 | 55% |
| 볼린저 밴드 돌파 n=26, k=1.3 |
28.0% | -55.5% | 0.77 | 0.50 | 3.8x | 51 | 40% |
| EMA 크로스오버 fast=40, slow=208 |
28.5% | -67.8% | 0.77 | 0.42 | 3.9x | 11 | 51% |
| ROC 모멘텀 n=37, threshold=0.04 |
26.1% | -51.3% | 0.72 | 0.51 | 3.5x | 70 | 47% |
| ADX / DI 방향성 period=32, threshold=14 |
24.5% | -59.4% | 0.70 | 0.41 | 3.3x | 35 | 51% |
| Parabolic SAR step=0.01, maxStep=0.38 |
22.7% | -49.6% | 0.67 | 0.46 | 3.0x | 69 | 50% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=1.7 |
18.0% | -64.6% | 0.61 | 0.28 | 2.5x | 40 | 32% |
| Buy and hold | 51.4% | -56.6% | 0.95 | 0.91 | 9.5x | 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 (17/20) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line