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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Puya Semiconductor (Shanghai) Co. Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Puya Semiconductor (Shanghai) Co. Ltd. Class A. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 61.5%, MDD -35.5%).

Data 2021-08-23 ~ 2026-08-31daily bars 1,217 (5.0 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

7 of 10 beat buy and hold (CAGR 28.2%, drawdown -74.8%).

Sharpe leader (same as main): MACD — CAGR 61.5%, MDD -35.5%, Sharpe 1.19, 51% exposure.

Return/drawdown alternative: MACD — CAGR is 33.3%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 61.5%, MDD -35.5%, exposure 51%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=9, slow=30, signal=8
61.5%-35.5%1.191.7311.1x8951%
Parabolic SAR
step=0.025, maxStep=0.22
40.5%-50.9%0.920.805.5x11649%
Supertrend
period=14, mult=4.4
41.3%-62.8%0.900.665.7x1661%
ROC 모멘텀
n=18, threshold=-0.04
39.5%-52.0%0.870.765.3x8961%
ADX / DI 방향성
period=12, threshold=15
38.1%-51.7%0.860.745.1x8056%
EMA 크로스오버
fast=26, slow=103
37.0%-64.4%0.850.574.9x1150%
SMA 크로스오버
fast=18, slow=140
33.1%-64.4%0.790.514.2x1350%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=27, mult=2.2
22.8%-34.3%0.740.672.8x2816%
Donchian 채널 돌파
entryN=89, exitN=58
27.0%-64.4%0.720.423.3x743%
볼린저 밴드 돌파
n=36, k=1.1
25.9%-49.6%0.710.523.2x4042%
Buy and hold28.2%-74.8%0.710.383.5x1100%
1x 10x 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -37% -56% -75% 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -35.5% (2023-05-30 → 2024-02-07), recovered after 342 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupMore CN assetsAll asset reports

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