Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Optowide Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Optowide Technologies Co., Ltd. Class A. 7 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 56.5%, MDD -39.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 44.5%, drawdown -66.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 67.2%, MDD -48.1%, Sharpe 1.21, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.7%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 56.5%, MDD -39.7%, exposure 29%).
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=0.3 |
67.2% | -48.1% | 1.21 | 1.40 | 15.6x | 62 | 46% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=27, mult=3.3 |
56.5% | -39.7% | 1.15 | 1.42 | 11.0x | 12 | 29% |
| Supertrend period=8, mult=2.3 |
60.4% | -64.8% | 1.11 | 0.93 | 12.5x | 46 | 50% |
| MACD fast=14, slow=38, signal=14 |
47.6% | -63.2% | 1.01 | 0.75 | 8.0x | 56 | 47% |
| Donchian 채널 돌파 entryN=68, exitN=34 |
47.7% | -44.0% | 0.99 | 1.08 | 8.1x | 10 | 42% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
46.6% | -48.8% | 0.98 | 0.95 | 7.7x | 26 | 44% |
| ROC 모멘텀 n=62, threshold=0.11 |
46.1% | -48.5% | 0.97 | 0.95 | 7.6x | 50 | 45% |
| ADX / DI 방향성 period=16, threshold=24 |
43.3% | -45.3% | 0.96 | 0.96 | 6.9x | 32 | 39% |
| SMA 크로스오버 fast=55, slow=81 |
42.0% | -53.3% | 0.90 | 0.79 | 6.5x | 20 | 55% |
| EMA 크로스오버 fast=26, slow=58 |
29.7% | -67.5% | 0.74 | 0.44 | 4.0x | 22 | 54% |
| Buy and hold | 44.5% | -66.1% | 0.87 | 0.67 | 7.1x | 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