Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen FRD Science & Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen FRD Science & Technology Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 20.1%, MDD -58.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.6%, drawdown -76.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 20.1%, MDD -58.8%, Sharpe 0.66, 49% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 17.4%p (CAGR 20.1%, MDD -58.8%, exposure 49%).
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=0.24 |
20.1% | -58.8% | 0.66 | 0.34 | 5.7x | 128 | 49% |
| 볼린저 밴드 돌파 n=16, k=1.6 |
15.8% | -46.7% | 0.59 | 0.34 | 4.0x | 110 | 35% |
| Donchian 채널 돌파 entryN=11, exitN=17 |
16.8% | -55.9% | 0.58 | 0.30 | 4.4x | 66 | 62% |
| MACD fast=15, slow=47, signal=10 |
15.3% | -60.9% | 0.56 | 0.25 | 3.9x | 134 | 48% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=20, mult=1.7 |
9.2% | -62.2% | 0.44 | 0.15 | 2.3x | 64 | 25% |
| Supertrend period=27, mult=1.9 |
9.8% | -50.6% | 0.44 | 0.19 | 2.4x | 114 | 45% |
| EMA 크로스오버 fast=50, slow=224 |
8.1% | -69.8% | 0.40 | 0.12 | 2.1x | 11 | 58% |
| ROC 모멘텀 n=90, threshold=-0.09 |
5.1% | -65.7% | 0.35 | 0.08 | 1.6x | 81 | 72% |
| ADX / DI 방향성 period=13, threshold=24 |
4.2% | -66.1% | 0.30 | 0.06 | 1.5x | 92 | 33% |
| SMA 크로스오버 fast=34, slow=230 |
2.9% | -66.6% | 0.28 | 0.04 | 1.3x | 17 | 59% |
| Buy and hold | 22.6% | -76.2% | 0.66 | 0.30 | 7.0x | 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