Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Yinlun Machinery Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Yinlun Machinery 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 12.3%, MDD -53.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -74.8%).
Sharpe leader (same as main): MACD — CAGR 12.3%, MDD -53.6%, Sharpe 0.52, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 21.1%p (CAGR 12.3%, MDD -53.6%, 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=18, slow=43, signal=19 |
12.3% | -53.6% | 0.52 | 0.23 | 9.3x | 194 | 50% |
| SMA 크로스오버 fast=37, slow=196 |
10.9% | -66.0% | 0.47 | 0.16 | 7.3x | 27 | 60% |
| Donchian 채널 돌파 entryN=7, exitN=65 |
10.9% | -71.6% | 0.46 | 0.15 | 7.4x | 66 | 87% |
| EMA 크로스오버 fast=49, slow=126 |
9.6% | -66.1% | 0.44 | 0.15 | 5.9x | 27 | 61% |
| Supertrend period=9, mult=3.7 |
8.4% | -55.5% | 0.41 | 0.15 | 4.8x | 88 | 55% |
| Parabolic SAR step=0.01, maxStep=0.08 |
6.2% | -66.8% | 0.35 | 0.09 | 3.2x | 228 | 50% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=8, mult=1.2 |
5.3% | -55.7% | 0.33 | 0.10 | 2.7x | 182 | 37% |
| 볼린저 밴드 돌파 n=33, k=1.6 |
4.8% | -56.7% | 0.31 | 0.09 | 2.5x | 150 | 37% |
| ADX / DI 방향성 period=32, threshold=7 |
3.8% | -84.2% | 0.29 | 0.04 | 2.0x | 202 | 59% |
| ROC 모멘텀 n=138, threshold=0.11 |
2.6% | -72.6% | 0.25 | 0.04 | 1.7x | 144 | 47% |
| Buy and hold | 12.5% | -74.8% | 0.49 | 0.17 | 9.7x | 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 (18/43) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line