Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuxi Lead Intelligent Equipment Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wuxi Lead Intelligent Equipment 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 37.8%, MDD -51.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 31.3%, drawdown -85.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 41.3%, MDD -61.7%, Sharpe 1.09, 46% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 37.8%, MDD -51.1%, 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=0.01, maxStep=0.36 |
41.3% | -61.7% | 1.09 | 0.67 | 48.2x | 136 | 46% |
| Supertrend period=5, mult=1.5 |
37.8% | -51.1% | 1.02 | 0.74 | 36.4x | 158 | 53% |
| MACD fast=19, slow=46, signal=11 |
25.3% | -66.2% | 0.80 | 0.38 | 12.6x | 113 | 46% |
| ADX / DI 방향성 period=19, threshold=13 |
25.2% | -43.0% | 0.78 | 0.59 | 12.4x | 138 | 48% |
| 볼린저 밴드 돌파 n=22, k=1.3 |
23.1% | -45.3% | 0.77 | 0.51 | 10.2x | 100 | 38% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=1.1 |
23.1% | -42.2% | 0.75 | 0.55 | 10.2x | 72 | 46% |
| SMA 크로스오버 fast=24, slow=174 |
22.3% | -40.3% | 0.74 | 0.55 | 9.5x | 20 | 52% |
| EMA 크로스오버 fast=6, slow=24 |
23.4% | -44.6% | 0.73 | 0.53 | 10.6x | 94 | 52% |
| ROC 모멘텀 n=95, threshold=-0.02 |
15.4% | -68.8% | 0.57 | 0.22 | 5.0x | 94 | 56% |
| Donchian 채널 돌파 entryN=50, exitN=98 |
14.0% | -53.7% | 0.52 | 0.26 | 4.3x | 16 | 65% |
| Buy and hold | 31.3% | -85.1% | 0.78 | 0.37 | 21.2x | 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