Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Wazam New Material Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Wazam New Material Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 43.9%, MDD -57.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 31.7%, drawdown -77.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 43.9%, MDD -57.1%, Sharpe 1.08, 49% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 43.9%, MDD -57.1%, exposure 49%).
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=0.02, maxStep=0.12 |
43.9% | -57.1% | 1.08 | 0.77 | 32.5x | 182 | 49% |
| Supertrend period=12, mult=1.7 |
27.9% | -56.6% | 0.80 | 0.49 | 10.5x | 136 | 49% |
| SMA 크로스오버 fast=46, slow=200 |
22.2% | -61.3% | 0.70 | 0.36 | 6.8x | 9 | 52% |
| ROC 모멘텀 n=107, threshold=0.04 |
21.6% | -61.3% | 0.68 | 0.35 | 6.5x | 81 | 47% |
| EMA 크로스오버 fast=52, slow=99 |
18.5% | -67.0% | 0.62 | 0.28 | 5.1x | 15 | 53% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
16.5% | -50.4% | 0.61 | 0.33 | 4.3x | 34 | 32% |
| Donchian 채널 돌파 entryN=114, exitN=68 |
16.4% | -68.1% | 0.58 | 0.24 | 4.3x | 9 | 50% |
| ADX / DI 방향성 period=17, threshold=29 |
9.5% | -53.2% | 0.46 | 0.18 | 2.4x | 44 | 21% |
| MACD fast=7, slow=57, signal=18 |
10.6% | -55.9% | 0.46 | 0.19 | 2.6x | 138 | 51% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=2.6 |
8.3% | -60.9% | 0.41 | 0.14 | 2.1x | 36 | 26% |
| Buy and hold | 31.7% | -77.5% | 0.78 | 0.41 | 13.9x | 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