Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Nanya New Material Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Nanya New Material Technology Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 38.9%, MDD -29.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 31.1%, drawdown -81.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 47.3%, MDD -37.6%, Sharpe 1.06, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 53.5%, MDD -41.0%, exposure 70%.
Return/drawdown alternative: MACD — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 38.9%, MDD -29.3%, exposure 47%).
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=0.03, maxStep=0.36 |
47.3% | -37.6% | 1.06 | 1.26 | 10.4x | 167 | 48% |
| Donchian 채널 돌파 entryN=7, exitN=20 |
53.5% | -41.0% | 1.05 | 1.30 | 13.3x | 43 | 70% |
| MACD fast=7, slow=44, signal=10 |
38.9% | -29.3% | 0.96 | 1.33 | 7.3x | 113 | 47% |
| ROC 모멘텀 n=107, threshold=-0.03 |
44.8% | -62.9% | 0.96 | 0.71 | 9.3x | 37 | 55% |
| SMA 크로스오버 fast=7, slow=184 |
43.0% | -60.2% | 0.94 | 0.71 | 8.7x | 17 | 55% |
| EMA 크로스오버 fast=8, slow=201 |
37.9% | -65.4% | 0.89 | 0.58 | 7.0x | 17 | 47% |
| ADX / DI 방향성 period=15, threshold=11 |
36.7% | -45.2% | 0.86 | 0.81 | 6.6x | 93 | 62% |
| Supertrend period=19, mult=1.9 |
33.3% | -43.0% | 0.85 | 0.77 | 5.7x | 75 | 48% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
23.3% | -43.8% | 0.71 | 0.53 | 3.5x | 14 | 26% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=3.1 |
22.6% | -52.7% | 0.68 | 0.43 | 3.4x | 18 | 32% |
| Buy and hold | 31.1% | -81.0% | 0.75 | 0.38 | 5.1x | 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