Trend-Following Backtester · Guide · backtest 한국어
equity · CN
WG Tech (JiangXi) Group Co., LTD. Class A backtest
10 trend-following strategies were compared on the full daily history of WG Tech (JiangXi) Group Co., LTD. Class A. 5 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 28.3%, MDD -50.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.2%, drawdown -78.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 28.3%, MDD -50.3%, Sharpe 0.83, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 16.1%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 28.3%, MDD -50.3%, exposure 48%).
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=0.32 |
28.3% | -50.3% | 0.83 | 0.56 | 7.9x | 62 | 48% |
| Supertrend period=19, mult=2.5 |
16.0% | -56.7% | 0.58 | 0.28 | 3.4x | 66 | 45% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
13.5% | -51.7% | 0.54 | 0.26 | 2.9x | 82 | 36% |
| MACD fast=21, slow=59, signal=15 |
14.1% | -53.3% | 0.54 | 0.26 | 3.0x | 78 | 51% |
| SMA 크로스오버 fast=13, slow=162 |
12.6% | -62.4% | 0.50 | 0.20 | 2.7x | 21 | 47% |
| ROC 모멘텀 n=158, threshold=-0.04 |
10.8% | -62.4% | 0.46 | 0.17 | 2.3x | 61 | 55% |
| ADX / DI 방향성 period=36, threshold=16 |
8.8% | -57.0% | 0.42 | 0.15 | 2.0x | 26 | 34% |
| EMA 크로스오버 fast=44, slow=78 |
8.5% | -62.4% | 0.41 | 0.14 | 2.0x | 17 | 48% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=4 |
6.6% | -48.3% | 0.39 | 0.14 | 1.7x | 16 | 10% |
| Donchian 채널 돌파 entryN=9, exitN=38 |
4.4% | -77.2% | 0.33 | 0.06 | 1.4x | 46 | 72% |
| Buy and hold | 12.2% | -78.5% | 0.49 | 0.15 | 2.6x | 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