Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Henan Shijia Photons Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Henan Shijia Photons Technology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 33.0%, MDD -34.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 25.4%, drawdown -82.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 51.6%, MDD -58.7%, Sharpe 1.05, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.2%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 33.0%, MDD -34.6%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=125, threshold=-0.01 |
51.6% | -58.7% | 1.05 | 0.88 | 12.4x | 31 | 47% |
| SMA 크로스오버 fast=44, slow=219 |
48.1% | -58.7% | 1.03 | 0.82 | 10.8x | 3 | 41% |
| EMA 크로스오버 fast=32, slow=185 |
47.4% | -58.7% | 1.02 | 0.81 | 10.5x | 5 | 42% |
| MACD fast=9, slow=36, signal=6 |
40.1% | -51.3% | 0.96 | 0.78 | 7.7x | 125 | 46% |
| Parabolic SAR step=0.02, maxStep=0.36 |
39.6% | -50.2% | 0.95 | 0.79 | 7.5x | 114 | 44% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
33.0% | -34.6% | 0.93 | 0.95 | 5.6x | 22 | 21% |
| Supertrend period=21, mult=2.9 |
38.4% | -47.4% | 0.93 | 0.81 | 7.1x | 39 | 45% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=1.4 |
34.8% | -39.4% | 0.91 | 0.88 | 6.1x | 45 | 31% |
| ADX / DI 방향성 period=8, threshold=33 |
32.9% | -49.8% | 0.89 | 0.66 | 5.6x | 63 | 30% |
| Donchian 채널 돌파 entryN=91, exitN=70 |
33.9% | -58.9% | 0.83 | 0.58 | 5.9x | 6 | 41% |
| Buy and hold | 25.4% | -82.3% | 0.68 | 0.31 | 3.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 125-day return is greater than -1%
- Sell — Sell when the 125-day return drops to -1% or below