Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Montage Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Montage Technology Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 15.3%, drawdown -63.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 20.4%, MDD -51.0%, Sharpe 0.68, 49% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=0.12 |
20.4% | -51.0% | 0.68 | 0.40 | 3.7x | 84 | 49% |
| SMA 크로스오버 fast=74, slow=188 |
15.4% | -52.1% | 0.56 | 0.30 | 2.7x | 9 | 50% |
| MACD fast=11, slow=38, signal=10 |
13.2% | -63.5% | 0.51 | 0.21 | 2.4x | 114 | 48% |
| Donchian 채널 돌파 entryN=19, exitN=87 |
12.7% | -73.3% | 0.50 | 0.17 | 2.3x | 13 | 78% |
| 볼린저 밴드 돌파 n=44, k=1.1 |
9.3% | -58.3% | 0.43 | 0.16 | 1.9x | 50 | 38% |
| ROC 모멘텀 n=113, threshold=0 |
7.7% | -68.8% | 0.40 | 0.11 | 1.7x | 77 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=10, mult=1.2 |
6.1% | -55.1% | 0.35 | 0.11 | 1.5x | 58 | 38% |
| EMA 크로스오버 fast=36, slow=71 |
4.9% | -73.4% | 0.33 | 0.07 | 1.4x | 15 | 55% |
| Supertrend period=28, mult=2.3 |
2.7% | -72.4% | 0.27 | 0.04 | 1.2x | 76 | 48% |
| ADX / DI 방향성 period=10, threshold=21 |
1.4% | -63.0% | 0.24 | 0.02 | 1.1x | 132 | 41% |
| Buy and hold | 15.3% | -63.5% | 0.54 | 0.24 | 2.7x | 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