Trend-Following Backtester · Guide · backtest 한국어
equity · CN
GEM Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of GEM Co., Ltd. Class A. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.4%, MDD -46.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.2%, drawdown -70.0%).
Sharpe leader (same as main): MACD — CAGR 10.9%, MDD -47.7%, Sharpe 0.41, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 9.4%, MDD -46.0%, exposure 54%).
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=19, slow=71, signal=18 |
10.9% | -47.7% | 0.41 | 0.23 | 5.5x | 111 | 56% |
| EMA 크로스오버 fast=18, slow=20 |
10.4% | -54.7% | 0.40 | 0.19 | 5.2x | 84 | 49% |
| Donchian 채널 돌파 entryN=24, exitN=29 |
9.4% | -46.0% | 0.38 | 0.21 | 4.4x | 58 | 54% |
| 볼린저 밴드 돌파 n=22, k=2.4 |
5.1% | -38.0% | 0.34 | 0.13 | 2.3x | 70 | 18% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=25, mult=1.5 |
5.1% | -35.8% | 0.34 | 0.14 | 2.3x | 94 | 21% |
| Supertrend period=24, mult=1.9 |
6.0% | -61.1% | 0.30 | 0.10 | 2.6x | 162 | 53% |
| ROC 모멘텀 n=22, threshold=-0.01 |
3.0% | -58.8% | 0.23 | 0.05 | 1.6x | 291 | 58% |
| ADX / DI 방향성 period=8, threshold=27 |
1.2% | -45.1% | 0.17 | 0.03 | 1.2x | 212 | 26% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-0.8% | -60.0% | 0.11 | -0.01 | 0.9x | 162 | 39% |
| SMA 크로스오버 fast=7, slow=83 |
-2.6% | -69.7% | 0.05 | -0.04 | 0.7x | 74 | 36% |
| Buy and hold | 6.2% | -70.0% | 0.33 | 0.09 | 2.7x | 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 (19/71) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line