Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suzhou Maxwell Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Suzhou Maxwell Technologies Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 39.5%, MDD -35.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 31.7%, drawdown -80.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 51.3%, MDD -50.0%, Sharpe 1.14, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 39.5%, MDD -35.9%, exposure 28%).
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=0.015, maxStep=0.32 |
51.3% | -50.0% | 1.14 | 1.03 | 24.4x | 130 | 52% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
39.5% | -35.9% | 1.09 | 1.10 | 13.1x | 26 | 28% |
| Supertrend period=22, mult=1.9 |
45.2% | -51.8% | 1.07 | 0.87 | 17.8x | 90 | 45% |
| ADX / DI 방향성 period=14, threshold=25 |
41.2% | -47.1% | 1.04 | 0.88 | 14.4x | 62 | 38% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=15, mult=2 |
39.0% | -46.2% | 1.01 | 0.84 | 12.7x | 40 | 39% |
| EMA 크로스오버 fast=1, slow=129 |
40.4% | -47.8% | 0.97 | 0.85 | 13.8x | 44 | 48% |
| MACD fast=14, slow=59, signal=9 |
38.4% | -51.9% | 0.96 | 0.74 | 12.3x | 106 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=9 |
35.1% | -42.6% | 0.93 | 0.82 | 10.2x | 54 | 43% |
| ROC 모멘텀 n=14, threshold=0.01 |
35.6% | -53.7% | 0.90 | 0.66 | 10.5x | 190 | 50% |
| SMA 크로스오버 fast=32, slow=40 |
31.0% | -58.0% | 0.82 | 0.53 | 8.0x | 49 | 52% |
| Buy and hold | 31.7% | -80.8% | 0.77 | 0.39 | 8.4x | 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