Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuhan DR Laser Technology Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wuhan DR Laser Technology Corp. Ltd. Class A. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 26.3%, MDD -34.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 24.5%, drawdown -75.4%).
Sharpe leader (same as main): MACD — CAGR 43.9%, MDD -36.1%, Sharpe 1.08, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.4%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 26.3%, MDD -34.8%, 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=13, slow=46, signal=19 |
43.9% | -36.1% | 1.08 | 1.22 | 13.8x | 58 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
34.8% | -55.1% | 0.92 | 0.63 | 8.6x | 54 | 48% |
| Supertrend period=14, mult=1.8 |
29.6% | -43.5% | 0.84 | 0.68 | 6.5x | 78 | 44% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=21, mult=1.5 |
26.3% | -34.8% | 0.81 | 0.75 | 5.4x | 48 | 31% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
23.0% | -42.5% | 0.73 | 0.54 | 4.4x | 60 | 34% |
| ROC 모멘텀 n=26, threshold=0.08 |
22.3% | -38.3% | 0.72 | 0.58 | 4.3x | 98 | 33% |
| Donchian 채널 돌파 entryN=21, exitN=11 |
22.1% | -41.5% | 0.71 | 0.53 | 4.2x | 44 | 38% |
| ADX / DI 방향성 period=10, threshold=22 |
18.4% | -41.3% | 0.61 | 0.45 | 3.4x | 122 | 47% |
| EMA 크로스오버 fast=35, slow=217 |
13.6% | -55.1% | 0.51 | 0.25 | 2.5x | 9 | 53% |
| SMA 크로스오버 fast=57, slow=176 |
9.3% | -62.0% | 0.43 | 0.15 | 1.9x | 11 | 54% |
| Buy and hold | 24.5% | -75.4% | 0.68 | 0.33 | 4.9x | 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 (13/46) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line