Trend-Following Backtester · Guide · backtest 한국어
equity · CN
L&K Engineering (Suzhou) Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of L&K Engineering (Suzhou) Co. Ltd. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 36.0%, drawdown -75.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 33.3%, MDD -62.2%, Sharpe 0.90, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
33.3% | -62.2% | 0.90 | 0.54 | 15.7x | 74 | 50% |
| MACD fast=9, slow=51, signal=16 |
22.2% | -66.2% | 0.71 | 0.34 | 6.8x | 112 | 48% |
| SMA 크로스오버 fast=51, slow=272 |
21.7% | -57.4% | 0.70 | 0.38 | 6.6x | 7 | 50% |
| Supertrend period=8, mult=3.2 |
22.9% | -84.7% | 0.70 | 0.27 | 7.2x | 58 | 55% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=9, mult=2.1 |
17.7% | -60.8% | 0.68 | 0.29 | 4.8x | 48 | 21% |
| EMA 크로스오버 fast=58, slow=278 |
18.4% | -66.7% | 0.63 | 0.28 | 5.0x | 9 | 49% |
| ROC 모멘텀 n=4, threshold=0.13 |
11.4% | -39.4% | 0.59 | 0.29 | 2.8x | 96 | 6% |
| ADX / DI 방향성 period=8, threshold=22 |
15.1% | -72.2% | 0.55 | 0.21 | 3.8x | 186 | 48% |
| 볼린저 밴드 돌파 n=28, k=3 |
12.4% | -42.9% | 0.55 | 0.29 | 3.1x | 36 | 20% |
| Donchian 채널 돌파 entryN=76, exitN=91 |
9.5% | -74.3% | 0.43 | 0.13 | 2.4x | 13 | 60% |
| Buy and hold | 36.0% | -75.8% | 0.84 | 0.47 | 18.9x | 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