Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Allwinner Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Allwinner Technology Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 23.7%, drawdown -76.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 23.9%, MDD -65.3%, Sharpe 0.71, 47% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=0.015, maxStep=0.32 |
23.9% | -65.3% | 0.71 | 0.37 | 11.1x | 200 | 47% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=12, mult=3.7 |
9.1% | -22.3% | 0.66 | 0.41 | 2.6x | 8 | 2% |
| MACD fast=6, slow=23, signal=18 |
14.6% | -55.5% | 0.54 | 0.26 | 4.6x | 210 | 50% |
| ADX / DI 방향성 period=7, threshold=24 |
14.6% | -66.0% | 0.54 | 0.22 | 4.6x | 232 | 41% |
| Supertrend period=14, mult=1.8 |
12.1% | -50.5% | 0.49 | 0.24 | 3.6x | 142 | 45% |
| 볼린저 밴드 돌파 n=25, k=2.8 |
10.1% | -32.0% | 0.48 | 0.31 | 2.9x | 32 | 14% |
| Donchian 채널 돌파 entryN=158, exitN=57 |
5.9% | -63.8% | 0.34 | 0.09 | 1.9x | 10 | 31% |
| SMA 크로스오버 fast=35, slow=273 |
2.0% | -63.2% | 0.26 | 0.03 | 1.3x | 15 | 48% |
| EMA 크로스오버 fast=56, slow=164 |
0.6% | -68.3% | 0.23 | 0.01 | 1.1x | 17 | 51% |
| ROC 모멘텀 n=89, threshold=-0.02 |
-0.8% | -74.4% | 0.21 | -0.01 | 0.9x | 103 | 54% |
| Buy and hold | 23.7% | -76.2% | 0.66 | 0.31 | 10.8x | 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