Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ingenic Semiconductor Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Ingenic Semiconductor Co., Ltd Class A. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.3%, MDD -42.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.0%, drawdown -77.5%).
Sharpe leader (same as main): MACD — CAGR 27.0%, MDD -71.7%, Sharpe 0.77, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 5.9%p (CAGR 20.3%, MDD -42.1%, exposure 31%).
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=30, slow=56, signal=17 |
27.0% | -71.7% | 0.77 | 0.38 | 38.4x | 116 | 48% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=2.4 |
20.3% | -42.1% | 0.69 | 0.48 | 16.8x | 52 | 31% |
| Supertrend period=14, mult=3 |
22.1% | -64.9% | 0.68 | 0.34 | 21.1x | 92 | 52% |
| Donchian 채널 돌파 entryN=74, exitN=74 |
20.4% | -75.2% | 0.64 | 0.27 | 16.9x | 15 | 56% |
| 볼린저 밴드 돌파 n=39, k=1.5 |
17.1% | -60.2% | 0.60 | 0.28 | 11.1x | 88 | 39% |
| ADX / DI 방향성 period=13, threshold=22 |
16.6% | -47.3% | 0.59 | 0.35 | 10.4x | 148 | 40% |
| SMA 크로스오버 fast=14, slow=34 |
17.3% | -77.5% | 0.59 | 0.22 | 11.4x | 104 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
16.3% | -64.8% | 0.57 | 0.25 | 10.0x | 278 | 51% |
| EMA 크로스오버 fast=21, slow=151 |
15.5% | -71.6% | 0.55 | 0.22 | 9.1x | 26 | 51% |
| ROC 모멘텀 n=95, threshold=0 |
13.1% | -84.2% | 0.50 | 0.16 | 6.5x | 117 | 51% |
| Buy and hold | 15.0% | -77.5% | 0.54 | 0.19 | 8.4x | 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 (30/56) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line