Trend-Following Backtester · Guide · backtest 한국어
equity · CN
WG Tech (JiangXi) Group Co., LTD. Class A backtest
10 trend-following strategies were compared on the full daily history of WG Tech (JiangXi) Group Co., LTD. Class A. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 28.2%, MDD -50.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.5%, drawdown -78.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 28.2%, MDD -50.3%, Sharpe 0.82, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 28.2%, MDD -50.3%, exposure 48%).
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=0.005, maxStep=0.32 |
28.2% | -50.3% | 0.82 | 0.56 | 8.0x | 63 | 48% |
| SMA 크로스오버 fast=13, slow=162 |
17.0% | -63.5% | 0.59 | 0.27 | 3.7x | 21 | 48% |
| Supertrend period=19, mult=2.5 |
15.8% | -56.7% | 0.58 | 0.28 | 3.4x | 67 | 46% |
| ROC 모멘텀 n=158, threshold=-0.04 |
15.1% | -63.5% | 0.55 | 0.24 | 3.2x | 61 | 55% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
12.1% | -51.7% | 0.50 | 0.23 | 2.6x | 83 | 36% |
| EMA 크로스오버 fast=44, slow=78 |
12.7% | -63.5% | 0.50 | 0.20 | 2.7x | 17 | 48% |
| MACD fast=21, slow=59, signal=15 |
11.7% | -53.3% | 0.48 | 0.22 | 2.5x | 79 | 51% |
| ADX / DI 방향성 period=36, threshold=16 |
8.7% | -58.0% | 0.41 | 0.15 | 2.0x | 27 | 35% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=4 |
6.6% | -48.3% | 0.39 | 0.14 | 1.7x | 16 | 10% |
| Donchian 채널 돌파 entryN=9, exitN=38 |
4.3% | -77.2% | 0.33 | 0.06 | 1.4x | 47 | 72% |
| Buy and hold | 16.5% | -78.5% | 0.56 | 0.21 | 3.6x | 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