Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sanan Optoelectronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sanan Optoelectronics Co., Ltd. Class A. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.6%, MDD -68.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.8%, drawdown -90.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.1%, MDD -75.3%, Sharpe 0.42, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 8.6%, MDD -68.5%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=190 |
13.1% | -75.3% | 0.42 | 0.17 | 40.8x | 31 | 49% |
| SMA 크로스오버 fast=6, slow=205 |
8.6% | -75.6% | 0.41 | 0.11 | 11.9x | 84 | 49% |
| Supertrend period=22, mult=1.8 |
11.2% | -83.6% | 0.38 | 0.13 | 24.8x | 380 | 48% |
| Donchian 채널 돌파 entryN=55, exitN=30 |
9.0% | -76.2% | 0.34 | 0.12 | 13.4x | 76 | 40% |
| ADX / DI 방향성 period=14, threshold=15 |
8.3% | -83.7% | 0.33 | 0.10 | 11.0x | 478 | 47% |
| ROC 모멘텀 n=24, threshold=-0.04 |
7.6% | -90.5% | 0.33 | 0.08 | 9.1x | 542 | 64% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=24, mult=1.6 |
8.6% | -70.6% | 0.33 | 0.12 | 11.9x | 206 | 33% |
| 볼린저 밴드 돌파 n=58, k=3 |
8.6% | -68.5% | 0.32 | 0.13 | 12.2x | 46 | 21% |
| MACD fast=13, slow=44, signal=12 |
4.7% | -83.9% | 0.31 | 0.06 | 4.0x | 426 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.5% | -86.7% | 0.29 | 0.07 | 6.6x | 234 | 50% |
| Buy and hold | 10.8% | -90.0% | 0.40 | 0.12 | 21.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 190-day EMA
- Sell — Sell when the 58-day EMA falls below the 190-day EMA