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. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 48.8%, MDD -32.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 45.4%, drawdown -56.6%).
Sharpe leader (same as main): MACD — CAGR 48.8%, MDD -32.4%, Sharpe 1.07, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 48.8%, 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 |
48.8% | -32.4% | 1.07 | 1.51 | 8.3x | 62 | 50% |
| Supertrend period=20, mult=2.6 |
46.7% | -36.3% | 1.02 | 1.29 | 7.7x | 36 | 53% |
| SMA 크로스오버 fast=19, slow=34 |
39.7% | -60.9% | 0.92 | 0.65 | 5.9x | 32 | 56% |
| Donchian 채널 돌파 entryN=16, exitN=20 |
35.5% | -55.4% | 0.85 | 0.64 | 5.0x | 28 | 55% |
| 볼린저 밴드 돌파 n=26, k=1.3 |
30.3% | -55.5% | 0.81 | 0.55 | 4.1x | 50 | 40% |
| ROC 모멘텀 n=37, threshold=0.04 |
26.5% | -51.3% | 0.72 | 0.52 | 3.5x | 70 | 48% |
| ADX / DI 방향성 period=32, threshold=14 |
25.5% | -59.4% | 0.72 | 0.43 | 3.4x | 34 | 50% |
| EMA 크로스오버 fast=40, slow=208 |
23.0% | -67.8% | 0.68 | 0.34 | 3.0x | 11 | 50% |
| Parabolic SAR step=0.01, maxStep=0.38 |
21.7% | -49.6% | 0.65 | 0.44 | 2.9x | 68 | 49% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=1.7 |
18.3% | -64.6% | 0.62 | 0.28 | 2.5x | 40 | 32% |
| Buy and hold | 45.4% | -56.6% | 0.89 | 0.80 | 7.4x | 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