Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Maxscend Microelectronics Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Maxscend Microelectronics Company Limited Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 40.2%, MDD -56.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 33.5%, drawdown -82.4%).
Sharpe leader (same as main): Supertrend — CAGR 40.2%, MDD -56.8%, Sharpe 0.98, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 40.2%, MDD -56.8%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=1, mult=4.8 |
40.2% | -56.8% | 0.98 | 0.71 | 11.4x | 37 | 58% |
| Parabolic SAR step=0.02, maxStep=0.16 |
32.6% | -62.7% | 0.90 | 0.52 | 7.6x | 144 | 49% |
| ADX / DI 방향성 period=38, threshold=38 |
4.5% | -8.6% | 0.62 | 0.52 | 1.4x | 2 | 3% |
| Donchian 채널 돌파 entryN=28, exitN=63 |
16.9% | -61.0% | 0.58 | 0.28 | 3.1x | 16 | 64% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=3.7 |
7.7% | -21.5% | 0.53 | 0.36 | 1.7x | 6 | 4% |
| EMA 크로스오버 fast=40, slow=48 |
11.0% | -62.2% | 0.47 | 0.18 | 2.1x | 14 | 53% |
| ROC 모멘텀 n=47, threshold=-0.04 |
10.9% | -57.5% | 0.46 | 0.19 | 2.1x | 58 | 57% |
| 볼린저 밴드 돌파 n=11, k=1.8 |
9.8% | -48.1% | 0.45 | 0.20 | 2.0x | 112 | 29% |
| SMA 크로스오버 fast=9, slow=24 |
7.3% | -76.7% | 0.38 | 0.10 | 1.7x | 83 | 49% |
| MACD fast=11, slow=26, signal=6 |
2.5% | -64.6% | 0.26 | 0.04 | 1.2x | 139 | 50% |
| Buy and hold | 33.5% | -82.4% | 0.81 | 0.41 | 8.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 1-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)