Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jonhon Optronic Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jonhon Optronic Technology Co., Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -53.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -78.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -53.4%, Sharpe 0.47, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 25.0%p (CAGR 10.8%, MDD -53.4%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=259 |
10.8% | -53.4% | 0.47 | 0.20 | 6.8x | 25 | 60% |
| Donchian 채널 돌파 entryN=19, exitN=67 |
10.2% | -53.4% | 0.45 | 0.19 | 6.2x | 50 | 75% |
| ADX / DI 방향성 period=37, threshold=22 |
6.6% | -28.1% | 0.45 | 0.24 | 3.3x | 18 | 10% |
| 볼린저 밴드 돌파 n=21, k=2.7 |
6.2% | -41.8% | 0.41 | 0.15 | 3.1x | 66 | 15% |
| EMA 크로스오버 fast=50, slow=67 |
8.2% | -58.8% | 0.41 | 0.14 | 4.4x | 44 | 58% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=2.7 |
4.7% | -34.2% | 0.35 | 0.14 | 2.4x | 42 | 10% |
| Supertrend period=19, mult=2.5 |
5.9% | -61.9% | 0.35 | 0.10 | 2.9x | 152 | 53% |
| MACD fast=18, slow=27, signal=15 |
4.8% | -58.1% | 0.31 | 0.08 | 2.4x | 250 | 51% |
| ROC 모멘텀 n=121, threshold=0.14 |
1.3% | -64.4% | 0.20 | 0.02 | 1.3x | 182 | 34% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.5% | -68.5% | 0.14 | -0.01 | 0.9x | 152 | 51% |
| Buy and hold | 11.5% | -78.5% | 0.48 | 0.15 | 7.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 259-day average
- Sell — Sell (to cash) when the 42-day average falls below the 259-day average