Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hubei Feilihua Quartz Glass Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Hubei Feilihua Quartz Glass Co Ltd Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 25.9%, MDD -49.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 30.1%, drawdown -65.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 25.9%, MDD -49.1%, Sharpe 0.79, 52% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 25.9%, MDD -49.1%, exposure 52%).
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=0.03, maxStep=0.06 |
25.9% | -49.1% | 0.79 | 0.53 | 15.8x | 184 | 52% |
| MACD fast=18, slow=52, signal=16 |
15.4% | -61.4% | 0.57 | 0.25 | 5.6x | 121 | 50% |
| Donchian 채널 돌파 entryN=30, exitN=79 |
16.3% | -74.0% | 0.56 | 0.22 | 6.1x | 18 | 74% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=21, mult=1.9 |
13.1% | -54.9% | 0.54 | 0.24 | 4.4x | 58 | 28% |
| Supertrend period=29, mult=3.3 |
14.2% | -53.3% | 0.54 | 0.27 | 4.9x | 64 | 50% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
11.3% | -51.3% | 0.51 | 0.22 | 3.6x | 84 | 24% |
| SMA 크로스오버 fast=50, slow=132 |
11.8% | -68.4% | 0.48 | 0.17 | 3.8x | 24 | 58% |
| ADX / DI 방향성 period=36, threshold=12 |
11.0% | -55.8% | 0.47 | 0.20 | 3.5x | 76 | 45% |
| EMA 크로스오버 fast=49, slow=113 |
9.4% | -72.8% | 0.43 | 0.13 | 2.9x | 22 | 59% |
| ROC 모멘텀 n=11, threshold=-0.01 |
5.4% | -75.0% | 0.34 | 0.07 | 1.9x | 374 | 58% |
| Buy and hold | 30.1% | -65.9% | 0.77 | 0.46 | 23.3x | 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