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. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 41.1%, MDD -56.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 31.2%, drawdown -82.4%).
Sharpe leader (same as main): Supertrend — CAGR 41.1%, MDD -56.8%, Sharpe 1.00, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 41.1%, 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 |
41.1% | -56.8% | 1.00 | 0.72 | 11.6x | 36 | 58% |
| Parabolic SAR step=0.02, maxStep=0.16 |
32.3% | -62.7% | 0.89 | 0.51 | 7.3x | 142 | 49% |
| ADX / DI 방향성 period=38, threshold=38 |
4.6% | -8.6% | 0.62 | 0.53 | 1.4x | 2 | 3% |
| Donchian 채널 돌파 entryN=28, exitN=63 |
17.1% | -61.0% | 0.58 | 0.28 | 3.1x | 16 | 65% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=3.7 |
7.8% | -21.5% | 0.53 | 0.36 | 1.7x | 6 | 4% |
| EMA 크로스오버 fast=40, slow=48 |
11.1% | -62.2% | 0.47 | 0.18 | 2.1x | 14 | 54% |
| 볼린저 밴드 돌파 n=11, k=1.8 |
10.4% | -48.1% | 0.47 | 0.22 | 2.0x | 110 | 29% |
| ROC 모멘텀 n=47, threshold=-0.04 |
11.1% | -57.5% | 0.46 | 0.19 | 2.1x | 58 | 58% |
| SMA 크로스오버 fast=9, slow=24 |
7.5% | -76.7% | 0.38 | 0.10 | 1.7x | 82 | 49% |
| MACD fast=11, slow=26, signal=6 |
1.4% | -64.6% | 0.22 | 0.02 | 1.1x | 138 | 49% |
| Buy and hold | 31.2% | -82.4% | 0.77 | 0.38 | 6.9x | 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)