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 29.9%, MDD -38.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 23.4%, drawdown -59.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 29.9%, MDD -38.2%, Sharpe 1.04, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 29.9%, 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 |
29.9% | -38.2% | 1.04 | 0.78 | 4.0x | 40 | 51% |
| Supertrend period=2, mult=3.7 |
23.1% | -50.5% | 0.82 | 0.46 | 3.0x | 23 | 65% |
| ROC 모멘텀 n=139, threshold=0.05 |
12.5% | -24.2% | 0.65 | 0.52 | 1.9x | 22 | 44% |
| SMA 크로스오버 fast=48, slow=114 |
11.7% | -24.2% | 0.60 | 0.48 | 1.8x | 8 | 48% |
| EMA 크로스오버 fast=18, slow=105 |
10.9% | -25.2% | 0.56 | 0.43 | 1.7x | 12 | 56% |
| Donchian 채널 돌파 entryN=106, exitN=69 |
9.6% | -24.2% | 0.55 | 0.40 | 1.6x | 4 | 37% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=1.8 |
7.1% | -24.1% | 0.48 | 0.29 | 1.4x | 20 | 31% |
| 볼린저 밴드 돌파 n=39, k=2.1 |
2.3% | -26.8% | 0.22 | 0.09 | 1.1x | 24 | 24% |
| ADX / DI 방향성 period=35, threshold=24 |
1.4% | -31.7% | 0.18 | 0.05 | 1.1x | 10 | 11% |
| MACD fast=11, slow=54, signal=11 |
-6.8% | -46.8% | -0.18 | -0.14 | 0.7x | 76 | 44% |
| Buy and hold | 23.4% | -59.5% | 0.72 | 0.39 | 3.0x | 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