Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningxia Orient Tantalum Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ningxia Orient Tantalum Industry Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.0%, MDD -52.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.4%, drawdown -92.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 10.2%, MDD -67.4%, Sharpe 0.46, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 4.0%, MDD -52.2%, exposure 20%).
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=0.015, maxStep=0.14 |
10.2% | -67.4% | 0.46 | 0.15 | 13.2x | 410 | 52% |
| Donchian 채널 돌파 entryN=113, exitN=71 |
9.0% | -83.3% | 0.42 | 0.11 | 9.9x | 30 | 43% |
| SMA 크로스오버 fast=54, slow=199 |
8.3% | -65.5% | 0.41 | 0.13 | 8.4x | 27 | 46% |
| EMA 크로스오버 fast=43, slow=152 |
8.2% | -82.8% | 0.40 | 0.10 | 8.0x | 33 | 47% |
| ROC 모멘텀 n=140, threshold=0.01 |
6.4% | -73.2% | 0.36 | 0.09 | 5.2x | 231 | 47% |
| MACD fast=14, slow=46, signal=24 |
6.1% | -72.9% | 0.35 | 0.08 | 4.8x | 260 | 53% |
| Supertrend period=24, mult=2.4 |
5.1% | -64.2% | 0.32 | 0.08 | 3.7x | 246 | 48% |
| ADX / DI 방향성 period=35, threshold=17 |
4.6% | -77.0% | 0.30 | 0.06 | 3.3x | 118 | 27% |
| 볼린저 밴드 돌파 n=30, k=1.3 |
4.0% | -71.7% | 0.29 | 0.06 | 2.9x | 234 | 39% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=8, mult=3.2 |
4.0% | -52.2% | 0.29 | 0.08 | 2.9x | 54 | 20% |
| Buy and hold | 4.4% | -92.0% | 0.34 | 0.05 | 3.1x | 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