Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sangfor Technologies, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Sangfor Technologies, Inc. Class A. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.8%, MDD -29.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.6%, drawdown -86.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.4%, MDD -47.0%, Sharpe 0.68, 57% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 13.8%, MDD -29.9%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=72, slow=114 |
20.4% | -47.0% | 0.68 | 0.43 | 4.7x | 6 | 57% |
| SMA 크로스오버 fast=27, slow=156 |
18.8% | -43.1% | 0.65 | 0.43 | 4.2x | 10 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=1.8 |
13.8% | -29.9% | 0.60 | 0.46 | 2.9x | 40 | 13% |
| Donchian 채널 돌파 entryN=97, exitN=77 |
15.4% | -49.3% | 0.56 | 0.31 | 3.3x | 8 | 54% |
| Supertrend period=27, mult=3.3 |
14.1% | -47.7% | 0.54 | 0.29 | 3.0x | 39 | 42% |
| ROC 모멘텀 n=97, threshold=-0.01 |
12.7% | -57.1% | 0.50 | 0.22 | 2.7x | 51 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.7% | -70.8% | 0.50 | 0.18 | 2.7x | 71 | 44% |
| 볼린저 밴드 돌파 n=29, k=2.8 |
9.6% | -32.3% | 0.47 | 0.30 | 2.1x | 26 | 16% |
| ADX / DI 방향성 period=10, threshold=26 |
5.3% | -57.9% | 0.33 | 0.09 | 1.5x | 102 | 31% |
| MACD fast=16, slow=53, signal=8 |
4.5% | -83.0% | 0.31 | 0.05 | 1.4x | 124 | 47% |
| Buy and hold | 14.6% | -86.6% | 0.53 | 0.17 | 3.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 72-day EMA crosses above the 114-day EMA
- Sell — Sell when the 72-day EMA falls below the 114-day EMA