Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Create Century Intelligent Equipment Group Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Create Century Intelligent Equipment Group Corporation Limited Class A. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.3%, MDD -59.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.7%, drawdown -80.2%).
Sharpe leader (same as main): MACD — CAGR 22.1%, MDD -70.6%, Sharpe 0.66, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 9.6%p (CAGR 7.3%, MDD -59.2%, exposure 48%).
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=22, slow=30, signal=20 |
22.1% | -70.6% | 0.66 | 0.31 | 25.3x | 154 | 51% |
| SMA 크로스오버 fast=9, slow=50 |
10.5% | -68.3% | 0.46 | 0.15 | 5.0x | 92 | 47% |
| Supertrend period=20, mult=2.5 |
6.9% | -73.7% | 0.39 | 0.09 | 3.0x | 128 | 50% |
| EMA 크로스오버 fast=48, slow=232 |
7.3% | -59.2% | 0.38 | 0.12 | 3.1x | 13 | 48% |
| Parabolic SAR step=0.015, maxStep=0.18 |
7.1% | -62.4% | 0.37 | 0.11 | 3.0x | 244 | 50% |
| Donchian 채널 돌파 entryN=6, exitN=27 |
5.7% | -80.1% | 0.37 | 0.07 | 2.5x | 115 | 76% |
| 볼린저 밴드 돌파 n=33, k=1.3 |
5.9% | -69.5% | 0.36 | 0.09 | 2.5x | 114 | 36% |
| ADX / DI 방향성 period=11, threshold=19 |
1.2% | -71.4% | 0.24 | 0.02 | 1.2x | 252 | 43% |
| ROC 모멘텀 n=25, threshold=0.02 |
-0.1% | -74.1% | 0.21 | -0.00 | 1.0x | 314 | 44% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=27, mult=2.1 |
-0.8% | -67.9% | 0.15 | -0.01 | 0.9x | 88 | 23% |
| Buy and hold | 5.7% | -80.2% | 0.38 | 0.07 | 2.4x | 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 (22/30) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line