Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Optics Technology Holding Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Optics Technology Holding Co., Ltd Class A. 3 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.4%, MDD -30.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 28.8%, drawdown -82.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 50.1%, MDD -65.7%, Sharpe 1.12, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 28.4%, MDD -30.7%, exposure 9%).
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=0.02, maxStep=0.08 |
50.1% | -65.7% | 1.12 | 0.76 | 90.0x | 172 | 46% |
| Supertrend period=14, mult=1.7 |
39.3% | -60.3% | 0.99 | 0.65 | 39.2x | 148 | 40% |
| Donchian 채널 돌파 entryN=181, exitN=12 |
28.4% | -30.7% | 0.97 | 0.92 | 15.9x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=3.9 |
29.9% | -43.0% | 0.93 | 0.69 | 18.1x | 12 | 13% |
| MACD fast=7, slow=51, signal=6 |
28.6% | -74.6% | 0.79 | 0.38 | 16.3x | 252 | 50% |
| SMA 크로스오버 fast=41, slow=184 |
25.2% | -62.8% | 0.73 | 0.40 | 12.1x | 19 | 47% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
18.9% | -42.2% | 0.70 | 0.45 | 6.8x | 16 | 11% |
| EMA 크로스오버 fast=22, slow=52 |
23.6% | -66.5% | 0.69 | 0.35 | 10.5x | 45 | 44% |
| ROC 모멘텀 n=125, threshold=-0.03 |
18.9% | -72.4% | 0.61 | 0.26 | 6.8x | 85 | 52% |
| ADX / DI 방향성 period=23, threshold=24 |
14.3% | -53.2% | 0.56 | 0.27 | 4.4x | 40 | 19% |
| Buy and hold | 28.8% | -82.4% | 0.73 | 0.35 | 16.6x | 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