Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Contemporary Amperex Technology Co., Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Contemporary Amperex Technology Co., Limited Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 34.5%, MDD -46.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 42.1%, drawdown -63.2%).
Sharpe leader (same as main): MACD — CAGR 34.5%, MDD -46.6%, Sharpe 1.09, 48% exposure.
Return/drawdown alternative: MACD — CAGR is 7.6%p lower than buy and hold, while drawdown improves by 16.6%p (CAGR 34.5%, MDD -46.6%, 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=11, slow=46, signal=19 |
34.5% | -46.6% | 1.09 | 0.74 | 11.4x | 80 | 48% |
| 볼린저 밴드 돌파 n=36, k=1.5 |
27.7% | -35.1% | 0.96 | 0.79 | 7.5x | 52 | 40% |
| SMA 크로스오버 fast=26, slow=248 |
29.8% | -44.4% | 0.94 | 0.67 | 8.6x | 9 | 55% |
| Donchian 채널 돌파 entryN=31, exitN=15 |
25.4% | -28.8% | 0.90 | 0.88 | 6.4x | 34 | 41% |
| Parabolic SAR step=0.005, maxStep=0.38 |
27.6% | -45.6% | 0.89 | 0.61 | 7.4x | 72 | 53% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=2 |
23.8% | -27.3% | 0.86 | 0.87 | 5.8x | 36 | 38% |
| ROC 모멘텀 n=149, threshold=0.04 |
24.5% | -42.3% | 0.82 | 0.58 | 6.1x | 61 | 54% |
| ADX / DI 방향성 period=51, threshold=6 |
25.2% | -41.7% | 0.82 | 0.60 | 6.4x | 50 | 62% |
| EMA 크로스오버 fast=68, slow=158 |
24.3% | -50.1% | 0.80 | 0.49 | 6.0x | 9 | 60% |
| Supertrend period=21, mult=4.3 |
21.5% | -41.8% | 0.75 | 0.51 | 4.9x | 28 | 56% |
| Buy and hold | 42.1% | -63.2% | 1.02 | 0.67 | 18.0x | 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 (11/46) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line