Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Megmeet Electrical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Megmeet Electrical Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 30.7%, drawdown -66.5%).
Sharpe leader (same as main): Supertrend — CAGR 22.2%, MDD -54.5%, Sharpe 0.70, 59% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=4, mult=3 |
22.2% | -54.5% | 0.70 | 0.41 | 6.6x | 64 | 59% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=2.9 |
13.3% | -26.0% | 0.70 | 0.51 | 3.2x | 22 | 10% |
| Parabolic SAR step=0.005, maxStep=0.34 |
20.5% | -56.5% | 0.69 | 0.36 | 5.8x | 78 | 49% |
| Donchian 채널 돌파 entryN=21, exitN=79 |
21.3% | -48.7% | 0.66 | 0.44 | 6.1x | 17 | 79% |
| MACD fast=12, slow=23, signal=14 |
17.8% | -43.5% | 0.65 | 0.41 | 4.7x | 132 | 47% |
| ROC 모멘텀 n=61, threshold=-0.11 |
19.1% | -49.0% | 0.62 | 0.39 | 5.2x | 76 | 76% |
| 볼린저 밴드 돌파 n=21, k=1.4 |
13.4% | -46.8% | 0.55 | 0.29 | 3.3x | 100 | 34% |
| ADX / DI 방향성 period=28, threshold=11 |
11.9% | -54.7% | 0.49 | 0.22 | 2.9x | 90 | 49% |
| EMA 크로스오버 fast=32, slow=215 |
10.6% | -65.7% | 0.46 | 0.16 | 2.6x | 17 | 67% |
| SMA 크로스오버 fast=28, slow=74 |
10.2% | -53.2% | 0.45 | 0.19 | 2.5x | 35 | 54% |
| Buy and hold | 30.7% | -66.5% | 0.79 | 0.46 | 12.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 4-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)