Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Eastroc Beverage (Group) Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Eastroc Beverage (Group) 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 33.1%, MDD -38.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 26.9%, drawdown -59.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 33.1%, MDD -38.2%, Sharpe 1.12, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 33.1%, MDD -38.2%, exposure 51%).
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=0.24 |
33.1% | -38.2% | 1.12 | 0.87 | 4.4x | 39 | 51% |
| Supertrend period=2, mult=3.7 |
26.6% | -50.5% | 0.91 | 0.53 | 3.4x | 23 | 64% |
| ROC 모멘텀 n=139, threshold=0.05 |
12.7% | -24.2% | 0.66 | 0.53 | 1.9x | 22 | 45% |
| SMA 크로스오버 fast=48, slow=114 |
11.9% | -24.2% | 0.61 | 0.49 | 1.8x | 8 | 49% |
| EMA 크로스오버 fast=18, slow=105 |
11.0% | -25.2% | 0.56 | 0.44 | 1.7x | 12 | 57% |
| Donchian 채널 돌파 entryN=106, exitN=69 |
9.8% | -24.2% | 0.56 | 0.40 | 1.6x | 4 | 38% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=1.8 |
7.2% | -24.1% | 0.48 | 0.30 | 1.4x | 20 | 31% |
| 볼린저 밴드 돌파 n=39, k=2.1 |
4.5% | -21.5% | 0.35 | 0.21 | 1.3x | 23 | 24% |
| ADX / DI 방향성 period=35, threshold=24 |
1.5% | -31.7% | 0.18 | 0.05 | 1.1x | 10 | 11% |
| MACD fast=11, slow=54, signal=11 |
-3.6% | -46.8% | -0.04 | -0.08 | 0.8x | 73 | 44% |
| Buy and hold | 26.9% | -59.5% | 0.79 | 0.45 | 3.4x | 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