Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhuhai Bojay Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhuhai Bojay Electronics 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 Parabolic SAR (CAGR 40.2%, MDD -47.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 30.0%, drawdown -84.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 40.2%, MDD -47.5%, Sharpe 1.00, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 40.2%, MDD -47.5%, exposure 48%).
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=0.02, maxStep=0.1 |
40.2% | -47.5% | 1.00 | 0.85 | 9.2x | 119 | 48% |
| Supertrend period=3, mult=1.8 |
30.8% | -54.6% | 0.83 | 0.56 | 5.8x | 91 | 54% |
| MACD fast=13, slow=20, signal=10 |
26.3% | -61.0% | 0.78 | 0.43 | 4.6x | 107 | 51% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
21.0% | -31.0% | 0.71 | 0.68 | 3.5x | 20 | 31% |
| EMA 크로스오버 fast=57, slow=150 |
21.5% | -60.0% | 0.69 | 0.36 | 3.6x | 9 | 40% |
| ADX / DI 방향성 period=27, threshold=22 |
16.2% | -43.4% | 0.64 | 0.37 | 2.7x | 24 | 24% |
| SMA 크로스오버 fast=40, slow=165 |
18.8% | -59.4% | 0.63 | 0.32 | 3.1x | 11 | 39% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=1.6 |
15.0% | -48.5% | 0.61 | 0.31 | 2.5x | 54 | 21% |
| ROC 모멘텀 n=9, threshold=0.04 |
13.5% | -56.1% | 0.53 | 0.24 | 2.3x | 192 | 34% |
| Donchian 채널 돌파 entryN=47, exitN=72 |
10.2% | -68.3% | 0.45 | 0.15 | 1.9x | 11 | 46% |
| Buy and hold | 30.0% | -84.1% | 0.75 | 0.36 | 5.6x | 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