Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sieyuan Electric Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sieyuan Electric Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.7%, MDD -49.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.1%, drawdown -68.2%).
Sharpe leader (same as main): Supertrend — CAGR 21.7%, MDD -49.7%, Sharpe 0.79, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 18.5%p (CAGR 21.7%, MDD -49.7%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.4 |
21.7% | -49.7% | 0.79 | 0.44 | 74.5x | 92 | 54% |
| SMA 크로스오버 fast=24, slow=234 |
20.9% | -54.4% | 0.73 | 0.38 | 64.5x | 22 | 64% |
| 볼린저 밴드 돌파 n=51, k=2.3 |
16.2% | -48.6% | 0.70 | 0.33 | 27.2x | 72 | 35% |
| EMA 크로스오버 fast=20, slow=214 |
18.3% | -60.1% | 0.66 | 0.30 | 39.9x | 34 | 65% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=2.3 |
14.0% | -47.6% | 0.61 | 0.30 | 17.9x | 92 | 41% |
| ROC 모멘텀 n=101, threshold=-0.07 |
15.6% | -65.6% | 0.58 | 0.24 | 24.1x | 146 | 75% |
| Donchian 채널 돌파 entryN=66, exitN=72 |
14.9% | -60.1% | 0.58 | 0.25 | 21.3x | 34 | 66% |
| ADX / DI 방향성 period=20, threshold=16 |
12.7% | -48.6% | 0.56 | 0.26 | 13.7x | 214 | 44% |
| MACD fast=18, slow=53, signal=19 |
9.2% | -59.9% | 0.44 | 0.15 | 6.9x | 225 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
5.8% | -70.7% | 0.34 | 0.08 | 3.5x | 279 | 54% |
| Buy and hold | 22.1% | -68.2% | 0.68 | 0.32 | 80.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)