Trend-Following Backtester · Guide · backtest 한국어
equity · CN
POCO Holding Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of POCO Holding Co., Ltd. Class A. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 34.4%, MDD -32.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 41.3%, drawdown -55.0%).
Sharpe leader (same as main): MACD — CAGR 34.4%, MDD -32.2%, Sharpe 0.93, 52% exposure.
CAGR reference leader: Supertrend — CAGR 39.3%, MDD -48.0%, exposure 71%.
Return/drawdown alternative: MACD — CAGR is 6.9%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 34.4%, MDD -32.2%, exposure 52%).
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=22, slow=37, signal=25 |
34.4% | -32.2% | 0.93 | 1.07 | 7.0x | 52 | 52% |
| Supertrend period=2, mult=4.5 |
39.3% | -48.0% | 0.92 | 0.82 | 8.9x | 20 | 71% |
| EMA 크로스오버 fast=8, slow=38 |
29.1% | -45.5% | 0.80 | 0.64 | 5.4x | 48 | 54% |
| SMA 크로스오버 fast=25, slow=27 |
25.5% | -51.0% | 0.75 | 0.50 | 4.5x | 138 | 54% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=21, mult=3.3 |
15.8% | -29.8% | 0.64 | 0.53 | 2.6x | 14 | 17% |
| Donchian 채널 돌파 entryN=16, exitN=33 |
19.9% | -50.2% | 0.63 | 0.40 | 3.3x | 28 | 64% |
| ADX / DI 방향성 period=36, threshold=27 |
12.9% | -30.2% | 0.61 | 0.43 | 2.2x | 4 | 13% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
8.8% | -20.3% | 0.52 | 0.43 | 1.7x | 6 | 7% |
| ROC 모멘텀 n=26, threshold=0.09 |
10.0% | -64.5% | 0.45 | 0.16 | 1.9x | 132 | 32% |
| Parabolic SAR step=0.025, maxStep=0.2 |
3.8% | -68.2% | 0.30 | 0.06 | 1.3x | 158 | 53% |
| Buy and hold | 41.3% | -55.0% | 0.90 | 0.75 | 9.7x | 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 (22/37) crosses above its 25-day signal line
- Sell — Sell when the MACD line crosses back below the signal line