Trend-Following Backtester · Guide · backtest 한국어
equity · CN
NAURA Technology Group Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of NAURA Technology Group Co Ltd Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 22.7%, MDD -56.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 29.9%, drawdown -71.6%).
Sharpe leader (same as main): MACD — CAGR 22.4%, MDD -51.4%, Sharpe 0.76, 51% exposure.
CAGR reference leader: Supertrend — CAGR 22.7%, MDD -56.7%, exposure 66%.
Return/drawdown alternative: Supertrend — CAGR is 7.6%p lower than buy and hold, while drawdown improves by 20.2%p (CAGR 22.7%, MDD -56.7%, exposure 66%).
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=15, slow=56, signal=19 |
22.4% | -51.4% | 0.76 | 0.44 | 27.7x | 162 | 51% |
| Supertrend period=6, mult=4.7 |
22.7% | -56.7% | 0.71 | 0.40 | 29.1x | 46 | 66% |
| Donchian 채널 돌파 entryN=17, exitN=43 |
20.9% | -58.2% | 0.66 | 0.36 | 22.7x | 51 | 80% |
| SMA 크로스오버 fast=32, slow=47 |
18.6% | -62.6% | 0.64 | 0.30 | 16.6x | 106 | 57% |
| ADX / DI 방향성 period=34, threshold=9 |
17.7% | -62.8% | 0.62 | 0.28 | 14.6x | 155 | 57% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=24, mult=1.3 |
14.7% | -62.7% | 0.60 | 0.23 | 9.5x | 158 | 35% |
| EMA 크로스오버 fast=17, slow=29 |
16.5% | -54.9% | 0.60 | 0.30 | 12.4x | 104 | 57% |
| ROC 모멘텀 n=49, threshold=0.03 |
16.1% | -50.0% | 0.59 | 0.32 | 11.6x | 220 | 51% |
| 볼린저 밴드 돌파 n=27, k=0.5 |
13.4% | -64.2% | 0.54 | 0.21 | 7.9x | 238 | 48% |
| Parabolic SAR step=0.005, maxStep=0.28 |
13.5% | -54.3% | 0.54 | 0.25 | 8.0x | 136 | 51% |
| Buy and hold | 29.9% | -71.6% | 0.79 | 0.42 | 74.6x | 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 (15/56) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line