Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Eoptolink Technology Inc., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Eoptolink Technology Inc., Ltd. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 62.5%, MDD -55.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 66.8%, drawdown -77.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 59.5%, MDD -57.0%, Sharpe 1.24, 48% exposure.
CAGR reference leader: Supertrend — CAGR 62.5%, MDD -55.9%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 7.3%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 62.5%, MDD -55.9%, exposure 59%).
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=0.3 |
59.5% | -57.0% | 1.24 | 1.04 | 129.0x | 134 | 48% |
| Supertrend period=21, mult=4.8 |
62.5% | -55.9% | 1.20 | 1.12 | 156.6x | 26 | 59% |
| 볼린저 밴드 돌파 n=18, k=1 |
46.0% | -50.6% | 1.08 | 0.91 | 51.4x | 150 | 43% |
| EMA 크로스오버 fast=32, slow=70 |
52.7% | -54.9% | 1.08 | 0.96 | 81.8x | 23 | 61% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=0.9 |
45.3% | -46.0% | 1.07 | 0.98 | 48.7x | 124 | 41% |
| ROC 모멘텀 n=74, threshold=-0.02 |
50.5% | -63.4% | 1.05 | 0.80 | 70.5x | 75 | 62% |
| Donchian 채널 돌파 entryN=50, exitN=60 |
50.8% | -64.7% | 1.04 | 0.79 | 72.1x | 17 | 65% |
| SMA 크로스오버 fast=26, slow=111 |
45.7% | -64.9% | 0.99 | 0.70 | 50.3x | 21 | 61% |
| ADX / DI 방향성 period=17, threshold=16 |
37.1% | -53.1% | 0.92 | 0.70 | 26.7x | 124 | 45% |
| MACD fast=18, slow=26, signal=14 |
34.4% | -64.1% | 0.88 | 0.54 | 21.6x | 130 | 49% |
| Buy and hold | 66.8% | -77.0% | 1.14 | 0.87 | 205.7x | 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