Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Boqian New Materials Stock Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Boqian New Materials Stock 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 63.6%, MDD -38.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 46.3%, drawdown -82.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 63.6%, MDD -38.7%, Sharpe 1.37, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 63.6%, MDD -38.7%, exposure 51%).
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=0.12 |
63.6% | -38.7% | 1.37 | 1.64 | 16.8x | 84 | 51% |
| 볼린저 밴드 돌파 n=36, k=1 |
40.4% | -55.1% | 1.05 | 0.73 | 7.0x | 36 | 44% |
| EMA 크로스오버 fast=68, slow=87 |
40.0% | -53.1% | 1.04 | 0.75 | 6.9x | 5 | 48% |
| Supertrend period=29, mult=1.9 |
37.7% | -36.9% | 1.02 | 1.02 | 6.3x | 68 | 49% |
| MACD fast=17, slow=51, signal=14 |
38.0% | -48.1% | 1.01 | 0.79 | 6.3x | 56 | 50% |
| SMA 크로스오버 fast=58, slow=201 |
35.5% | -53.1% | 0.99 | 0.67 | 5.7x | 5 | 41% |
| ROC 모멘텀 n=134, threshold=0.01 |
36.6% | -53.1% | 0.97 | 0.69 | 6.0x | 21 | 49% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=16, mult=1.2 |
28.6% | -63.4% | 0.84 | 0.45 | 4.2x | 44 | 43% |
| Donchian 채널 돌파 entryN=15, exitN=17 |
30.2% | -56.7% | 0.84 | 0.53 | 4.5x | 33 | 55% |
| ADX / DI 방향성 period=33, threshold=16 |
20.6% | -53.5% | 0.69 | 0.39 | 2.9x | 30 | 37% |
| Buy and hold | 46.3% | -82.9% | 0.96 | 0.56 | 8.8x | 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