Trend-Following Backtester · Guide · backtest 한국어
equity · CN
iflytek Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of iflytek Co., Ltd. Class A. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.5%, MDD -37.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 11.5%, drawdown -81.4%).
Sharpe leader (same as main): MACD — CAGR 16.5%, MDD -49.5%, Sharpe 0.63, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 11.5%, MDD -37.6%, exposure 29%).
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=14, slow=64, signal=15 |
16.5% | -49.5% | 0.63 | 0.33 | 16.2x | 205 | 50% |
| Donchian 채널 돌파 entryN=26, exitN=15 |
15.6% | -47.8% | 0.62 | 0.33 | 14.0x | 86 | 39% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
15.1% | -39.3% | 0.62 | 0.38 | 13.1x | 158 | 36% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=28, mult=1.2 |
14.5% | -42.5% | 0.60 | 0.34 | 11.9x | 146 | 36% |
| Supertrend period=8, mult=2.7 |
16.2% | -59.4% | 0.59 | 0.27 | 15.6x | 130 | 52% |
| EMA 크로스오버 fast=11, slow=45 |
14.1% | -50.7% | 0.56 | 0.28 | 11.1x | 108 | 51% |
| ADX / DI 방향성 period=12, threshold=26 |
11.5% | -37.6% | 0.53 | 0.31 | 7.3x | 148 | 29% |
| SMA 크로스오버 fast=11, slow=217 |
11.8% | -68.1% | 0.49 | 0.17 | 7.7x | 44 | 60% |
| ROC 모멘텀 n=19, threshold=-0.04 |
10.8% | -52.6% | 0.47 | 0.21 | 6.6x | 397 | 66% |
| Parabolic SAR step=0.015, maxStep=0.34 |
5.1% | -54.9% | 0.32 | 0.09 | 2.5x | 306 | 48% |
| Buy and hold | 11.5% | -81.4% | 0.51 | 0.14 | 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 (14/64) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line