Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Fulin Precision Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Fulin Precision Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 25.0%, MDD -37.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.8%, drawdown -88.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 43.7%, MDD -58.5%, Sharpe 1.05, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 25.0%, MDD -37.2%, exposure 14%).
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=0.04, maxStep=0.08 |
43.7% | -58.5% | 1.05 | 0.75 | 65.6x | 196 | 46% |
| Supertrend period=6, mult=1.9 |
37.4% | -64.3% | 0.94 | 0.58 | 39.0x | 126 | 48% |
| 볼린저 밴드 돌파 n=36, k=2 |
31.1% | -46.7% | 0.90 | 0.67 | 22.8x | 48 | 28% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=13, mult=3 |
25.0% | -37.2% | 0.88 | 0.67 | 13.2x | 30 | 14% |
| MACD fast=8, slow=54, signal=16 |
28.8% | -69.4% | 0.81 | 0.41 | 18.5x | 120 | 50% |
| ADX / DI 방향성 period=17, threshold=15 |
29.3% | -68.8% | 0.80 | 0.43 | 19.4x | 120 | 42% |
| ROC 모멘텀 n=31, threshold=0.11 |
27.0% | -47.7% | 0.80 | 0.57 | 15.7x | 122 | 28% |
| Donchian 채널 돌파 entryN=30, exitN=40 |
30.8% | -57.7% | 0.79 | 0.53 | 22.2x | 30 | 53% |
| SMA 크로스오버 fast=4, slow=27 |
27.5% | -64.5% | 0.77 | 0.43 | 16.4x | 130 | 45% |
| EMA 크로스오버 fast=8, slow=22 |
26.7% | -65.3% | 0.76 | 0.41 | 15.3x | 102 | 46% |
| Buy and hold | 14.8% | -88.6% | 0.54 | 0.17 | 4.9x | 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