Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shandong Gold Mining Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shandong Gold Mining Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 23.3%, MDD -51.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 20.2%, drawdown -77.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 23.6%, MDD -56.0%, Sharpe 0.81, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 23.3%, MDD -51.0%, exposure 47%).
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=0.08 |
23.6% | -56.0% | 0.81 | 0.42 | 131.1x | 243 | 49% |
| ROC 모멘텀 n=108, threshold=0.03 |
23.3% | -51.0% | 0.76 | 0.46 | 123.8x | 152 | 47% |
| MACD fast=14, slow=32, signal=7 |
20.7% | -52.6% | 0.74 | 0.39 | 75.9x | 371 | 50% |
| Supertrend period=12, mult=2.3 |
20.3% | -58.0% | 0.73 | 0.35 | 70.4x | 221 | 48% |
| SMA 크로스오버 fast=53, slow=217 |
22.0% | -53.5% | 0.72 | 0.41 | 96.9x | 22 | 51% |
| EMA 크로스오버 fast=31, slow=176 |
21.0% | -62.3% | 0.70 | 0.34 | 80.6x | 36 | 50% |
| Donchian 채널 돌파 entryN=111, exitN=59 |
18.7% | -54.0% | 0.68 | 0.35 | 51.8x | 28 | 40% |
| 볼린저 밴드 돌파 n=50, k=0.8 |
18.0% | -56.0% | 0.67 | 0.32 | 44.7x | 159 | 42% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=14, mult=3.9 |
16.7% | -61.9% | 0.65 | 0.27 | 34.8x | 49 | 29% |
| ADX / DI 방향성 period=12, threshold=12 |
14.5% | -65.5% | 0.57 | 0.22 | 22.5x | 465 | 54% |
| Buy and hold | 20.2% | -77.1% | 0.63 | 0.26 | 68.9x | 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