Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shengyi Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shengyi Electronics Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 45.9%, MDD -38.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 38.3%, drawdown -71.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 56.8%, MDD -47.4%, Sharpe 1.18, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 45.9%, MDD -38.9%, exposure 50%).
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=0.01, maxStep=0.38 |
56.8% | -47.4% | 1.18 | 1.20 | 11.9x | 61 | 49% |
| Supertrend period=13, mult=1.8 |
45.9% | -38.9% | 1.03 | 1.18 | 8.0x | 61 | 50% |
| MACD fast=8, slow=52, signal=12 |
40.9% | -46.1% | 0.99 | 0.89 | 6.6x | 77 | 47% |
| ROC 모멘텀 n=35, threshold=0 |
41.4% | -48.9% | 0.94 | 0.85 | 6.7x | 61 | 52% |
| EMA 크로스오버 fast=45, slow=211 |
42.5% | -50.7% | 0.92 | 0.84 | 7.0x | 5 | 52% |
| Donchian 채널 돌파 entryN=12, exitN=34 |
42.9% | -55.3% | 0.92 | 0.78 | 7.1x | 27 | 70% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=14, mult=3.5 |
29.3% | -30.6% | 0.91 | 0.96 | 4.1x | 12 | 19% |
| 볼린저 밴드 돌파 n=42, k=1.3 |
33.8% | -41.0% | 0.87 | 0.82 | 5.0x | 27 | 39% |
| SMA 크로스오버 fast=28, slow=34 |
34.7% | -49.6% | 0.86 | 0.70 | 5.2x | 44 | 51% |
| ADX / DI 방향성 period=44, threshold=26 |
25.3% | -40.1% | 0.79 | 0.63 | 3.5x | 4 | 23% |
| Buy and hold | 38.3% | -71.8% | 0.84 | 0.53 | 6.0x | 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