Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Fujian Torch Electron Technology Co Ltd backtest
10 trend-following strategies were compared on the full daily history of Fujian Torch Electron Technology Co Ltd. 3 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.1%, MDD -27.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.1%, drawdown -79.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 30.0%, MDD -66.0%, Sharpe 0.90, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 17.1%, MDD -27.7%, exposure 16%).
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=0.005, maxStep=0.38 |
30.0% | -66.0% | 0.90 | 0.46 | 20.6x | 86 | 52% |
| Supertrend period=13, mult=2.9 |
24.2% | -48.2% | 0.79 | 0.50 | 12.1x | 68 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=2.2 |
17.1% | -27.7% | 0.79 | 0.62 | 6.2x | 46 | 16% |
| Donchian 채널 돌파 entryN=4, exitN=53 |
23.0% | -54.1% | 0.69 | 0.42 | 10.8x | 53 | 85% |
| ADX / DI 방향성 period=10, threshold=32 |
16.2% | -42.6% | 0.68 | 0.38 | 5.6x | 90 | 23% |
| MACD fast=11, slow=35, signal=18 |
16.8% | -46.5% | 0.63 | 0.36 | 6.0x | 142 | 48% |
| ROC 모멘텀 n=1, threshold=0.08 |
5.8% | -35.5% | 0.48 | 0.16 | 1.9x | 108 | 3% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
10.0% | -50.4% | 0.46 | 0.20 | 3.0x | 70 | 37% |
| SMA 크로스오버 fast=10, slow=30 |
10.4% | -68.0% | 0.46 | 0.15 | 3.1x | 96 | 51% |
| EMA 크로스오버 fast=16, slow=158 |
3.5% | -68.0% | 0.28 | 0.05 | 1.5x | 31 | 49% |
| Buy and hold | 18.1% | -79.8% | 0.59 | 0.23 | 6.8x | 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