Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sinomach Precision Industry Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sinomach Precision Industry Group Co. Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 12.5%, MDD -53.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.4%, drawdown -73.2%).
Sharpe leader (same as main): Supertrend — CAGR 15.0%, MDD -67.2%, Sharpe 0.56, 55% exposure.
Return/drawdown alternative: MACD — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 6.1%p (CAGR 12.5%, MDD -53.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3 |
15.0% | -67.2% | 0.56 | 0.22 | 19.5x | 128 | 55% |
| MACD fast=15, slow=38, signal=11 |
12.5% | -53.7% | 0.51 | 0.23 | 12.3x | 279 | 51% |
| Parabolic SAR step=0.035, maxStep=0.04 |
8.5% | -59.8% | 0.41 | 0.14 | 5.7x | 233 | 50% |
| SMA 크로스오버 fast=51, slow=164 |
6.9% | -65.3% | 0.37 | 0.10 | 4.1x | 33 | 52% |
| Donchian 채널 돌파 entryN=108, exitN=76 |
6.8% | -69.4% | 0.37 | 0.10 | 4.0x | 24 | 46% |
| 볼린저 밴드 돌파 n=45, k=1.8 |
6.7% | -61.2% | 0.37 | 0.11 | 4.0x | 106 | 34% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=1.6 |
5.7% | -67.4% | 0.34 | 0.08 | 3.2x | 144 | 40% |
| EMA 크로스오버 fast=31, slow=203 |
4.2% | -86.7% | 0.31 | 0.05 | 2.4x | 39 | 53% |
| ROC 모멘텀 n=104, threshold=-0.01 |
3.7% | -72.7% | 0.29 | 0.05 | 2.2x | 203 | 55% |
| ADX / DI 방향성 period=12, threshold=15 |
2.9% | -81.8% | 0.27 | 0.04 | 1.8x | 409 | 51% |
| Buy and hold | 14.4% | -73.2% | 0.53 | 0.20 | 17.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)