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. 5 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 33.6%, MDD -34.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 32.2%, drawdown -67.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 44.0%, MDD -38.7%, Sharpe 1.03, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 33.6%, 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 |
44.0% | -38.7% | 1.03 | 1.14 | 12.1x | 34 | 40% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=1.5 |
33.6% | -34.0% | 0.92 | 0.99 | 7.3x | 51 | 28% |
| Donchian 채널 돌파 entryN=16, exitN=38 |
40.4% | -50.1% | 0.90 | 0.81 | 10.2x | 27 | 66% |
| MACD fast=14, slow=42, signal=6 |
34.7% | -48.1% | 0.86 | 0.72 | 7.7x | 107 | 53% |
| SMA 크로스오버 fast=23, slow=146 |
35.8% | -55.4% | 0.85 | 0.65 | 8.1x | 13 | 58% |
| Supertrend period=20, mult=3.8 |
31.7% | -48.0% | 0.80 | 0.66 | 6.6x | 27 | 53% |
| ADX / DI 방향성 period=10, threshold=21 |
29.7% | -53.2% | 0.79 | 0.56 | 5.9x | 106 | 47% |
| ROC 모멘텀 n=31, threshold=0.02 |
30.3% | -48.6% | 0.79 | 0.62 | 6.1x | 131 | 48% |
| EMA 크로스오버 fast=19, slow=87 |
25.0% | -53.3% | 0.70 | 0.47 | 4.6x | 21 | 56% |
| Parabolic SAR step=0.005, maxStep=0.3 |
22.4% | -50.2% | 0.66 | 0.45 | 4.0x | 59 | 54% |
| Buy and hold | 32.2% | -67.6% | 0.76 | 0.48 | 6.7x | 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