Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Lens Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Lens Technology Co. Ltd. Class A. 4 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.2%, MDD -44.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.5%, drawdown -78.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 22.9%, MDD -52.2%, Sharpe 0.74, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 18.2%, MDD -44.7%, exposure 53%).
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=0.04, maxStep=0.1 |
22.9% | -52.2% | 0.74 | 0.44 | 10.6x | 247 | 48% |
| Supertrend period=9, mult=3.6 |
20.6% | -47.4% | 0.67 | 0.43 | 8.5x | 52 | 58% |
| ROC 모멘텀 n=173, threshold=0.01 |
19.2% | -45.5% | 0.65 | 0.42 | 7.5x | 59 | 56% |
| SMA 크로스오버 fast=18, slow=197 |
18.2% | -44.7% | 0.64 | 0.41 | 6.8x | 21 | 53% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=1.8 |
13.1% | -46.0% | 0.60 | 0.28 | 4.1x | 70 | 20% |
| EMA 크로스오버 fast=35, slow=219 |
14.3% | -57.7% | 0.55 | 0.25 | 4.6x | 15 | 53% |
| MACD fast=14, slow=54, signal=19 |
13.2% | -68.5% | 0.53 | 0.19 | 4.1x | 115 | 51% |
| 볼린저 밴드 돌파 n=29, k=1.5 |
12.0% | -66.2% | 0.51 | 0.18 | 3.7x | 93 | 36% |
| ADX / DI 방향성 period=9, threshold=26 |
11.8% | -61.7% | 0.51 | 0.19 | 3.6x | 169 | 37% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
9.1% | -71.3% | 0.42 | 0.13 | 2.7x | 85 | 60% |
| Buy and hold | 17.5% | -78.6% | 0.58 | 0.22 | 6.3x | 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