Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Quectel Wireless Solutions Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Quectel Wireless Solutions Co. Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 22.4%, MDD -44.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.8%, drawdown -73.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 22.4%, MDD -44.8%, Sharpe 0.75, 50% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 22.4%, MDD -44.8%, exposure 50%).
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=0.03, maxStep=0.32 |
22.4% | -44.8% | 0.75 | 0.50 | 4.2x | 192 | 50% |
| Donchian 채널 돌파 entryN=2, exitN=43 |
17.9% | -56.9% | 0.59 | 0.31 | 3.2x | 51 | 89% |
| 볼린저 밴드 돌파 n=30, k=3.4 |
4.6% | -23.7% | 0.37 | 0.19 | 1.4x | 6 | 7% |
| ADX / DI 방향성 period=8, threshold=37 |
5.8% | -43.3% | 0.36 | 0.13 | 1.5x | 68 | 21% |
| Supertrend period=17, mult=3 |
5.5% | -54.3% | 0.34 | 0.10 | 1.5x | 51 | 54% |
| MACD fast=17, slow=35, signal=22 |
4.3% | -54.0% | 0.30 | 0.08 | 1.3x | 71 | 52% |
| ROC 모멘텀 n=105, threshold=0 |
2.7% | -70.6% | 0.26 | 0.04 | 1.2x | 67 | 49% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=1.8 |
2.7% | -41.7% | 0.24 | 0.06 | 1.2x | 47 | 31% |
| EMA 크로스오버 fast=31, slow=183 |
0.7% | -66.0% | 0.20 | 0.01 | 1.1x | 12 | 49% |
| SMA 크로스오버 fast=26, slow=212 |
-2.4% | -63.3% | 0.10 | -0.04 | 0.8x | 18 | 48% |
| Buy and hold | 20.8% | -73.9% | 0.64 | 0.28 | 3.9x | 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