Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Satellite Chemical Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Satellite Chemical Co. Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.3%, MDD -49.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.1%, drawdown -66.5%).
Sharpe leader (same as main): Supertrend — CAGR 17.3%, MDD -49.3%, Sharpe 0.64, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 17.3%, MDD -49.3%, exposure 58%).
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=9, mult=3.1 |
17.3% | -49.3% | 0.64 | 0.35 | 10.2x | 75 | 58% |
| SMA 크로스오버 fast=21, slow=58 |
10.8% | -53.7% | 0.48 | 0.20 | 4.5x | 66 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=10, mult=1.3 |
9.8% | -50.0% | 0.48 | 0.20 | 3.9x | 132 | 37% |
| Donchian 채널 돌파 entryN=45, exitN=39 |
10.3% | -47.0% | 0.47 | 0.22 | 4.2x | 36 | 52% |
| ROC 모멘텀 n=46, threshold=-0.06 |
9.0% | -57.4% | 0.43 | 0.16 | 3.5x | 189 | 66% |
| 볼린저 밴드 돌파 n=37, k=0.9 |
8.1% | -50.1% | 0.41 | 0.16 | 3.1x | 129 | 45% |
| EMA 크로스오버 fast=33, slow=35 |
8.0% | -60.6% | 0.40 | 0.13 | 3.1x | 62 | 55% |
| MACD fast=16, slow=62, signal=18 |
6.1% | -62.0% | 0.35 | 0.10 | 2.4x | 151 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
5.8% | -63.8% | 0.34 | 0.09 | 2.3x | 120 | 52% |
| ADX / DI 방향성 period=19, threshold=11 |
-1.1% | -77.0% | 0.14 | -0.01 | 0.8x | 207 | 56% |
| Buy and hold | 15.1% | -66.5% | 0.55 | 0.23 | 7.8x | 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) — 9-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)