Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hebei Sinopack Electronic Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hebei Sinopack Electronic Technology Co. Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 57.5%, MDD -36.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 53.6%, drawdown -76.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 57.5%, MDD -36.7%, Sharpe 1.30, 46% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 57.5%, MDD -36.7%, exposure 46%).
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=0.01, maxStep=0.08 |
57.5% | -36.7% | 1.30 | 1.57 | 13.1x | 61 | 46% |
| 볼린저 밴드 돌파 n=22, k=1.1 |
40.0% | -35.0% | 1.08 | 1.14 | 6.7x | 63 | 39% |
| MACD fast=20, slow=22, signal=19 |
35.9% | -51.3% | 1.01 | 0.70 | 5.7x | 55 | 47% |
| ROC 모멘텀 n=89, threshold=-0.03 |
37.7% | -53.4% | 0.95 | 0.71 | 6.1x | 31 | 63% |
| EMA 크로스오버 fast=46, slow=175 |
35.3% | -53.4% | 0.93 | 0.66 | 5.5x | 3 | 55% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=1.7 |
27.2% | -32.7% | 0.92 | 0.83 | 3.9x | 34 | 24% |
| Supertrend period=29, mult=4.2 |
33.1% | -40.3% | 0.91 | 0.82 | 5.0x | 21 | 47% |
| ADX / DI 방향성 period=24, threshold=13 |
30.3% | -41.8% | 0.84 | 0.72 | 4.5x | 43 | 55% |
| Donchian 채널 돌파 entryN=36, exitN=38 |
28.3% | -37.2% | 0.82 | 0.76 | 4.1x | 16 | 50% |
| SMA 크로스오버 fast=5, slow=92 |
23.8% | -48.8% | 0.73 | 0.49 | 3.3x | 24 | 53% |
| Buy and hold | 53.6% | -76.7% | 1.06 | 0.70 | 11.3x | 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