Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangzhou Shiyuan Electronic Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangzhou Shiyuan Electronic Technology Co. Ltd. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 8.0%, MDD -53.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -81.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.0%, MDD -53.2%, Sharpe 0.42, 46% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 28.6%p (CAGR 8.0%, MDD -53.2%, exposure 46%).
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=0.025, maxStep=0.12 |
8.0% | -53.2% | 0.42 | 0.15 | 2.1x | 200 | 46% |
| ADX / DI 방향성 period=37, threshold=36 |
0.4% | -0.5% | 0.40 | 0.76 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=35, exitN=73 |
6.4% | -44.4% | 0.36 | 0.14 | 1.8x | 13 | 66% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=1.9 |
3.5% | -39.9% | 0.29 | 0.09 | 1.4x | 52 | 16% |
| ROC 모멘텀 n=132, threshold=-0.06 |
3.5% | -64.6% | 0.27 | 0.05 | 1.4x | 65 | 59% |
| EMA 크로스오버 fast=48, slow=119 |
1.9% | -54.5% | 0.21 | 0.03 | 1.2x | 13 | 52% |
| Supertrend period=18, mult=1.6 |
0.7% | -61.3% | 0.16 | 0.01 | 1.1x | 140 | 43% |
| SMA 크로스오버 fast=29, slow=227 |
0.5% | -59.1% | 0.15 | 0.01 | 1.1x | 17 | 48% |
| MACD fast=15, slow=43, signal=6 |
0.1% | -58.0% | 0.13 | 0.00 | 1.0x | 154 | 48% |
| 볼린저 밴드 돌파 n=47, k=2.3 |
-0.5% | -37.9% | 0.08 | -0.01 | 1.0x | 33 | 25% |
| Buy and hold | 9.5% | -81.8% | 0.44 | 0.12 | 2.4x | 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