Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Jpt Opto-Electronics Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Jpt Opto-Electronics Co. Ltd. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 34.5%, MDD -34.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 25.8%, drawdown -67.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 44.6%, MDD -38.7%, Sharpe 1.03, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 34.5%, MDD -34.0%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=45, k=1.3 |
44.6% | -38.7% | 1.03 | 1.15 | 12.1x | 34 | 40% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=1.5 |
34.5% | -34.0% | 0.94 | 1.02 | 7.4x | 50 | 28% |
| Donchian 채널 돌파 entryN=16, exitN=38 |
40.0% | -50.1% | 0.89 | 0.80 | 9.7x | 26 | 66% |
| ROC 모멘텀 n=31, threshold=0.02 |
34.2% | -48.6% | 0.85 | 0.70 | 7.3x | 124 | 48% |
| MACD fast=14, slow=42, signal=6 |
32.3% | -48.1% | 0.83 | 0.67 | 6.6x | 106 | 53% |
| Supertrend period=20, mult=3.8 |
33.1% | -48.0% | 0.82 | 0.69 | 6.9x | 26 | 53% |
| ADX / DI 방향성 period=10, threshold=21 |
28.5% | -53.2% | 0.77 | 0.54 | 5.4x | 102 | 46% |
| SMA 크로스오버 fast=23, slow=146 |
29.3% | -55.4% | 0.76 | 0.53 | 5.7x | 13 | 57% |
| EMA 크로스오버 fast=19, slow=87 |
25.8% | -53.3% | 0.71 | 0.48 | 4.7x | 19 | 56% |
| Parabolic SAR step=0.005, maxStep=0.3 |
23.5% | -50.2% | 0.68 | 0.47 | 4.2x | 58 | 54% |
| Buy and hold | 25.8% | -67.6% | 0.69 | 0.38 | 4.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 45-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average