Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Nantong Jianghai Capacitor Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Nantong Jianghai Capacitor Co., Ltd. Class A. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 16.0%, drawdown -68.2%).
Sharpe leader (same as main): MACD — CAGR 20.8%, MDD -55.6%, Sharpe 0.73, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=20, slow=31, signal=20 |
20.8% | -55.6% | 0.73 | 0.37 | 19.8x | 148 | 50% |
| SMA 크로스오버 fast=23, slow=217 |
17.2% | -67.5% | 0.61 | 0.26 | 12.4x | 21 | 55% |
| Supertrend period=9, mult=2.8 |
15.9% | -59.1% | 0.60 | 0.27 | 10.3x | 102 | 51% |
| EMA 크로스오버 fast=24, slow=130 |
14.8% | -60.4% | 0.56 | 0.25 | 8.9x | 31 | 55% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=22, mult=2 |
10.0% | -52.6% | 0.49 | 0.19 | 4.5x | 88 | 24% |
| Donchian 채널 돌파 entryN=77, exitN=78 |
11.6% | -76.5% | 0.48 | 0.15 | 5.7x | 19 | 58% |
| 볼린저 밴드 돌파 n=17, k=2.5 |
8.3% | -40.7% | 0.48 | 0.20 | 3.5x | 78 | 17% |
| ADX / DI 방향성 period=15, threshold=36 |
6.9% | -30.6% | 0.46 | 0.22 | 2.9x | 32 | 8% |
| Parabolic SAR step=0.005, maxStep=0.1 |
9.7% | -64.1% | 0.45 | 0.15 | 4.3x | 126 | 47% |
| ROC 모멘텀 n=120, threshold=0.01 |
6.8% | -77.4% | 0.37 | 0.09 | 2.8x | 125 | 52% |
| Buy and hold | 16.0% | -68.2% | 0.56 | 0.24 | 10.5x | 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 (20/31) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line