Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suntak Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Suntak Technology Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 2.5%, MDD -39.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -81.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 12.1%, MDD -65.4%, Sharpe 0.52, 46% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 2.5%, MDD -39.4%, exposure 49%).
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=0.005, maxStep=0.14 |
12.1% | -65.4% | 0.52 | 0.19 | 3.1x | 69 | 46% |
| ADX / DI 방향성 period=29, threshold=42 |
0.4% | -0.5% | 0.29 | 0.77 | 1.0x | 2 | 0% |
| Supertrend period=9, mult=2.9 |
2.5% | -39.4% | 0.24 | 0.06 | 1.3x | 59 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=3.7 |
1.4% | -15.7% | 0.19 | 0.09 | 1.2x | 8 | 4% |
| MACD fast=18, slow=46, signal=12 |
-0.8% | -56.7% | 0.13 | -0.01 | 0.9x | 111 | 51% |
| Donchian 채널 돌파 entryN=23, exitN=14 |
-0.9% | -41.6% | 0.11 | -0.02 | 0.9x | 52 | 36% |
| SMA 크로스오버 fast=59, slow=207 |
-2.5% | -53.7% | 0.10 | -0.05 | 0.8x | 13 | 47% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
-2.4% | -45.6% | 0.05 | -0.05 | 0.8x | 44 | 29% |
| EMA 크로스오버 fast=67, slow=163 |
-6.1% | -62.5% | -0.02 | -0.10 | 0.5x | 12 | 44% |
| ROC 모멘텀 n=132, threshold=-0.04 |
-8.4% | -67.1% | -0.08 | -0.13 | 0.4x | 102 | 53% |
| Buy and hold | 2.3% | -81.0% | 0.28 | 0.03 | 1.3x | 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