Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yangzhou Yangjie Electronic Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yangzhou Yangjie Electronic Technology Co., Ltd. Class A. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 30.0%, MDD -47.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.8%, drawdown -67.2%).
Sharpe leader (same as main): MACD — CAGR 30.0%, MDD -47.6%, Sharpe 0.86, 53% exposure.
Return/drawdown alternative: MACD — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 30.0%, MDD -47.6%, exposure 53%).
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=18, slow=35, signal=19 |
30.0% | -47.6% | 0.86 | 0.63 | 27.3x | 119 | 53% |
| Parabolic SAR step=0.005, maxStep=0.06 |
28.3% | -58.6% | 0.82 | 0.48 | 23.0x | 93 | 52% |
| ROC 모멘텀 n=165, threshold=-0.05 |
20.1% | -67.2% | 0.64 | 0.30 | 10.0x | 71 | 64% |
| SMA 크로스오버 fast=59, slow=205 |
18.8% | -67.2% | 0.62 | 0.28 | 8.8x | 13 | 59% |
| 볼린저 밴드 돌파 n=31, k=1.9 |
13.9% | -66.2% | 0.55 | 0.21 | 5.2x | 86 | 36% |
| Supertrend period=4, mult=3.1 |
14.8% | -68.8% | 0.54 | 0.22 | 5.7x | 72 | 60% |
| Donchian 채널 돌파 entryN=9, exitN=51 |
14.5% | -66.0% | 0.53 | 0.22 | 5.5x | 45 | 86% |
| ADX / DI 방향성 period=23, threshold=34 |
7.4% | -34.0% | 0.52 | 0.22 | 2.5x | 12 | 6% |
| EMA 크로스오버 fast=16, slow=234 |
13.5% | -74.1% | 0.52 | 0.18 | 4.9x | 17 | 58% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=26, mult=2 |
12.0% | -56.8% | 0.52 | 0.21 | 4.2x | 62 | 27% |
| Buy and hold | 24.8% | -67.2% | 0.69 | 0.37 | 16.4x | 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 (18/35) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line