Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China National Chemical Engineering Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China National Chemical Engineering Co., Ltd Class A. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 8.4%, MDD -35.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.9%, drawdown -61.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.4%, MDD -35.4%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 8.4%, MDD -35.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.08 |
8.4% | -35.4% | 0.44 | 0.24 | 3.8x | 219 | 50% |
| Supertrend period=20, mult=3.7 |
7.0% | -59.3% | 0.40 | 0.12 | 3.1x | 65 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=3.2 |
4.4% | -39.4% | 0.31 | 0.11 | 2.0x | 44 | 24% |
| SMA 크로스오버 fast=33, slow=102 |
4.2% | -55.7% | 0.29 | 0.07 | 2.0x | 42 | 50% |
| Donchian 채널 돌파 entryN=18, exitN=34 |
3.9% | -50.8% | 0.28 | 0.08 | 1.9x | 67 | 64% |
| 볼린저 밴드 돌파 n=34, k=1.4 |
3.0% | -51.8% | 0.25 | 0.06 | 1.6x | 122 | 38% |
| MACD fast=17, slow=71, signal=22 |
2.7% | -59.4% | 0.24 | 0.05 | 1.5x | 141 | 53% |
| EMA 크로스오버 fast=48, slow=52 |
2.2% | -63.4% | 0.22 | 0.03 | 1.4x | 42 | 48% |
| ADX / DI 방향성 period=25, threshold=11 |
1.8% | -57.7% | 0.20 | 0.03 | 1.3x | 188 | 51% |
| ROC 모멘텀 n=86, threshold=0.03 |
1.6% | -65.1% | 0.20 | 0.02 | 1.3x | 122 | 44% |
| Buy and hold | 1.9% | -61.8% | 0.24 | 0.03 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots