Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hebei Sinopack Electronic Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hebei Sinopack Electronic Technology Co. Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 56.1%, MDD -36.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 46.6%, drawdown -76.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 56.1%, MDD -36.7%, Sharpe 1.29, 45% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 56.1%, MDD -36.7%, exposure 45%).
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=0.08 |
56.1% | -36.7% | 1.29 | 1.53 | 11.9x | 60 | 45% |
| 볼린저 밴드 돌파 n=22, k=1.1 |
41.3% | -35.0% | 1.12 | 1.18 | 6.9x | 62 | 39% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=1.7 |
30.7% | -32.7% | 1.02 | 0.94 | 4.4x | 32 | 24% |
| MACD fast=20, slow=22, signal=19 |
34.7% | -51.3% | 1.00 | 0.68 | 5.3x | 54 | 47% |
| Supertrend period=29, mult=4.2 |
36.6% | -40.3% | 0.98 | 0.91 | 5.7x | 20 | 47% |
| ADX / DI 방향성 period=24, threshold=13 |
33.6% | -40.9% | 0.91 | 0.82 | 5.0x | 42 | 55% |
| ROC 모멘텀 n=89, threshold=-0.03 |
31.2% | -53.4% | 0.85 | 0.58 | 4.5x | 31 | 62% |
| EMA 크로스오버 fast=46, slow=175 |
28.9% | -53.4% | 0.83 | 0.54 | 4.1x | 3 | 54% |
| Donchian 채널 돌파 entryN=36, exitN=38 |
28.8% | -37.2% | 0.83 | 0.77 | 4.1x | 16 | 50% |
| SMA 크로스오버 fast=5, slow=92 |
25.7% | -45.4% | 0.77 | 0.57 | 3.6x | 22 | 54% |
| Buy and hold | 46.6% | -76.7% | 0.98 | 0.61 | 8.4x | 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