Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Capchem Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Capchem Technology Co., Ltd. Class A. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 9.5%, MDD -59.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.4%, drawdown -75.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.3%, MDD -65.5%, Sharpe 0.50, 53% exposure.
Return/drawdown alternative: MACD — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 9.8%p (CAGR 9.5%, MDD -59.7%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=22, threshold=0 |
12.3% | -65.5% | 0.50 | 0.19 | 6.9x | 317 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=23 |
11.6% | -59.9% | 0.48 | 0.19 | 6.2x | 83 | 60% |
| MACD fast=16, slow=62, signal=18 |
9.5% | -59.7% | 0.44 | 0.16 | 4.5x | 160 | 52% |
| SMA 크로스오버 fast=48, slow=141 |
9.1% | -58.4% | 0.42 | 0.16 | 4.3x | 29 | 49% |
| Supertrend period=22, mult=2.4 |
8.9% | -61.5% | 0.42 | 0.15 | 4.2x | 136 | 52% |
| 볼린저 밴드 돌파 n=30, k=2.1 |
7.8% | -45.8% | 0.40 | 0.17 | 3.5x | 92 | 30% |
| EMA 크로스오버 fast=34, slow=207 |
6.9% | -60.4% | 0.37 | 0.11 | 3.1x | 27 | 48% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=17, mult=2.4 |
6.1% | -39.3% | 0.36 | 0.16 | 2.7x | 60 | 21% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.2% | -66.6% | 0.25 | 0.03 | 1.4x | 288 | 52% |
| ADX / DI 방향성 period=38, threshold=11 |
-0.4% | -73.6% | 0.17 | -0.01 | 0.9x | 143 | 41% |
| Buy and hold | 9.4% | -75.3% | 0.45 | 0.13 | 4.5x | 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 22-day return is greater than 0%
- Sell — Sell when the 22-day return drops to 0% or below