Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningbo Tuopu Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ningbo Tuopu Group Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.1%, MDD -41.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.0%, drawdown -69.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 22.5%, MDD -51.2%, Sharpe 0.75, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 17.1%, MDD -41.3%, exposure 30%).
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=0.1 |
22.5% | -51.2% | 0.75 | 0.44 | 10.1x | 176 | 49% |
| 볼린저 밴드 돌파 n=35, k=1.9 |
17.1% | -41.3% | 0.67 | 0.41 | 6.0x | 58 | 30% |
| MACD fast=6, slow=56, signal=14 |
18.0% | -58.5% | 0.67 | 0.31 | 6.6x | 182 | 49% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=1.7 |
16.5% | -41.7% | 0.66 | 0.40 | 5.7x | 60 | 31% |
| Donchian 채널 돌파 entryN=22, exitN=20 |
17.1% | -62.9% | 0.63 | 0.27 | 6.0x | 56 | 44% |
| Supertrend period=16, mult=2.4 |
16.0% | -57.0% | 0.60 | 0.28 | 5.4x | 100 | 47% |
| ROC 모멘텀 n=26, threshold=0.05 |
11.9% | -64.7% | 0.51 | 0.18 | 3.6x | 208 | 38% |
| ADX / DI 방향성 period=9, threshold=23 |
11.5% | -76.2% | 0.50 | 0.15 | 3.4x | 196 | 41% |
| EMA 크로스오버 fast=9, slow=33 |
10.5% | -61.0% | 0.46 | 0.17 | 3.1x | 96 | 49% |
| SMA 크로스오버 fast=50, slow=162 |
7.0% | -62.6% | 0.37 | 0.11 | 2.2x | 20 | 52% |
| Buy and hold | 17.0% | -69.2% | 0.57 | 0.25 | 6.0x | 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