Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Lincang Xinyuan Germanium Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Lincang Xinyuan Germanium Industry Co., Ltd. Class A. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 19.7%, MDD -53.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.2%, drawdown -83.6%).
Sharpe leader (same as main): MACD — CAGR 19.7%, MDD -53.1%, Sharpe 0.67, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 19.7%, MDD -53.1%, exposure 52%).
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=28, signal=19 |
19.7% | -53.1% | 0.67 | 0.37 | 18.5x | 177 | 52% |
| Donchian 채널 돌파 entryN=18, exitN=65 |
11.6% | -80.3% | 0.48 | 0.14 | 5.9x | 45 | 76% |
| 볼린저 밴드 돌파 n=42, k=1.8 |
10.0% | -53.7% | 0.45 | 0.19 | 4.7x | 90 | 35% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=4 |
8.1% | -42.3% | 0.44 | 0.19 | 3.6x | 22 | 13% |
| EMA 크로스오버 fast=8, slow=30 |
8.4% | -68.9% | 0.41 | 0.12 | 3.7x | 155 | 53% |
| ROC 모멘텀 n=87, threshold=0.04 |
8.3% | -70.6% | 0.41 | 0.12 | 3.6x | 169 | 46% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.2% | -67.0% | 0.38 | 0.11 | 3.1x | 127 | 48% |
| ADX / DI 방향성 period=24, threshold=13 |
6.0% | -67.3% | 0.35 | 0.09 | 2.6x | 179 | 52% |
| SMA 크로스오버 fast=59, slow=147 |
5.3% | -83.1% | 0.34 | 0.06 | 2.3x | 33 | 53% |
| Supertrend period=17, mult=1.6 |
5.4% | -72.8% | 0.33 | 0.07 | 2.4x | 258 | 48% |
| Buy and hold | 14.2% | -83.6% | 0.52 | 0.17 | 8.6x | 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 (15/28) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line