Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Goldenmax International Group Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Goldenmax International Group Ltd. Class A. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 24.0%, MDD -60.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.5%, drawdown -85.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 34.8%, MDD -60.6%, Sharpe 0.93, 66% exposure.
Return/drawdown alternative: MACD — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 24.0%, MDD -60.0%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=130, threshold=-0.09 |
34.8% | -60.6% | 0.93 | 0.58 | 82.4x | 87 | 66% |
| Supertrend period=28, mult=2.5 |
27.2% | -63.2% | 0.84 | 0.43 | 34.7x | 125 | 46% |
| Donchian 채널 돌파 entryN=5, exitN=79 |
31.1% | -65.2% | 0.81 | 0.48 | 54.5x | 41 | 90% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=3.9 |
18.0% | -49.6% | 0.79 | 0.36 | 11.5x | 16 | 9% |
| MACD fast=19, slow=26, signal=15 |
24.0% | -60.0% | 0.76 | 0.40 | 24.0x | 167 | 53% |
| SMA 크로스오버 fast=34, slow=163 |
24.1% | -79.7% | 0.76 | 0.30 | 24.3x | 31 | 54% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
17.4% | -62.6% | 0.64 | 0.28 | 10.7x | 60 | 32% |
| ADX / DI 방향성 period=30, threshold=26 |
13.1% | -70.1% | 0.61 | 0.19 | 6.2x | 30 | 14% |
| EMA 크로스오버 fast=51, slow=127 |
16.8% | -92.6% | 0.60 | 0.18 | 9.9x | 27 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
15.3% | -85.2% | 0.57 | 0.18 | 8.2x | 115 | 45% |
| Buy and hold | 20.5% | -85.3% | 0.63 | 0.24 | 15.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 130-day return is greater than -9%
- Sell — Sell when the 130-day return drops to -9% or below