Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Henan Shijia Photons Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Henan Shijia Photons Technology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 33.5%, MDD -34.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.5%, drawdown -82.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 33.5%, MDD -34.6%, Sharpe 0.93, 21% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 38.8%, MDD -58.7%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 47.7%p (CAGR 33.5%, MDD -34.6%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.7 |
33.5% | -34.6% | 0.93 | 0.97 | 5.6x | 22 | 21% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=1.4 |
35.8% | -39.4% | 0.93 | 0.91 | 6.2x | 44 | 30% |
| ROC 모멘텀 n=125, threshold=-0.01 |
38.8% | -58.7% | 0.90 | 0.66 | 7.1x | 31 | 46% |
| Supertrend period=21, mult=2.9 |
35.4% | -47.4% | 0.88 | 0.75 | 6.1x | 38 | 45% |
| Parabolic SAR step=0.02, maxStep=0.36 |
33.9% | -50.2% | 0.87 | 0.67 | 5.7x | 112 | 44% |
| SMA 크로스오버 fast=44, slow=219 |
35.5% | -58.7% | 0.86 | 0.61 | 6.1x | 3 | 40% |
| MACD fast=9, slow=36, signal=6 |
33.3% | -51.3% | 0.86 | 0.65 | 5.6x | 124 | 46% |
| EMA 크로스오버 fast=32, slow=185 |
34.9% | -58.7% | 0.85 | 0.59 | 6.0x | 5 | 41% |
| Donchian 채널 돌파 entryN=91, exitN=70 |
34.5% | -58.9% | 0.84 | 0.59 | 5.9x | 6 | 42% |
| ADX / DI 방향성 period=8, threshold=33 |
28.9% | -49.8% | 0.82 | 0.58 | 4.5x | 62 | 30% |
| Buy and hold | 14.5% | -82.3% | 0.54 | 0.18 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 25-day middle average