Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Tigermed Consulting Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Tigermed Consulting Co., Ltd. Class A. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 22.6%, MDD -47.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.5%, drawdown -82.3%).
Sharpe leader (same as main): MACD — CAGR 22.2%, MDD -50.2%, Sharpe 0.75, 51% exposure.
CAGR reference leader: Supertrend — CAGR 22.6%, MDD -47.8%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 22.6%, MDD -47.8%, exposure 59%).
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=19, slow=55, signal=19 |
22.2% | -50.2% | 0.75 | 0.44 | 16.4x | 123 | 51% |
| Supertrend period=7, mult=2.6 |
22.6% | -47.8% | 0.74 | 0.47 | 17.2x | 91 | 59% |
| ADX / DI 방향성 period=15, threshold=35 |
12.4% | -27.3% | 0.71 | 0.45 | 5.1x | 32 | 11% |
| 볼린저 밴드 돌파 n=35, k=1.4 |
15.4% | -52.6% | 0.62 | 0.29 | 7.4x | 99 | 41% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=26, mult=3.1 |
13.0% | -45.1% | 0.61 | 0.29 | 5.5x | 38 | 22% |
| EMA 크로스오버 fast=6, slow=29 |
13.9% | -64.3% | 0.55 | 0.22 | 6.2x | 133 | 55% |
| Donchian 채널 돌파 entryN=58, exitN=44 |
12.1% | -75.8% | 0.51 | 0.16 | 4.9x | 32 | 51% |
| ROC 모멘텀 n=153, threshold=-0.02 |
12.4% | -75.3% | 0.50 | 0.16 | 5.1x | 101 | 59% |
| SMA 크로스오버 fast=44, slow=74 |
10.8% | -76.8% | 0.47 | 0.14 | 4.2x | 52 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
7.5% | -78.4% | 0.39 | 0.10 | 2.8x | 229 | 51% |
| Buy and hold | 19.5% | -82.3% | 0.62 | 0.24 | 11.9x | 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 (19/55) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line