Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Yoke Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Yoke Technology Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 17.1%, drawdown -68.3%).
Sharpe leader (same as main): Supertrend — CAGR 16.6%, MDD -62.9%, Sharpe 0.64, 42% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.2%, MDD -56.0%, exposure 70%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=3.8 |
16.6% | -62.9% | 0.64 | 0.26 | 12.2x | 68 | 42% |
| Donchian 채널 돌파 entryN=40, exitN=70 |
18.2% | -56.0% | 0.63 | 0.33 | 15.2x | 25 | 70% |
| MACD fast=19, slow=26, signal=21 |
15.4% | -67.3% | 0.61 | 0.23 | 10.2x | 178 | 54% |
| SMA 크로스오버 fast=74, slow=86 |
15.7% | -59.9% | 0.59 | 0.26 | 10.7x | 75 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
14.4% | -58.7% | 0.57 | 0.25 | 8.9x | 116 | 49% |
| 볼린저 밴드 돌파 n=37, k=2.3 |
12.4% | -44.0% | 0.56 | 0.28 | 6.7x | 70 | 26% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=2.5 |
10.8% | -45.2% | 0.50 | 0.24 | 5.3x | 56 | 27% |
| ROC 모멘텀 n=96, threshold=-0.04 |
11.6% | -63.0% | 0.48 | 0.18 | 6.0x | 173 | 64% |
| EMA 크로스오버 fast=29, slow=83 |
10.3% | -66.2% | 0.46 | 0.16 | 4.9x | 45 | 52% |
| ADX / DI 방향성 period=23, threshold=17 |
7.9% | -57.9% | 0.40 | 0.14 | 3.4x | 114 | 36% |
| Buy and hold | 17.1% | -68.3% | 0.58 | 0.25 | 13.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)