Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Optics Technology Holding Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Optics Technology Holding 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 Donchian 채널 돌파 (CAGR 28.1%, MDD -30.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 34.9%, drawdown -82.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 49.5%, MDD -65.7%, Sharpe 1.10, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 28.1%, MDD -30.7%, exposure 9%).
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=0.02, maxStep=0.08 |
49.5% | -65.7% | 1.10 | 0.75 | 89.2x | 174 | 46% |
| Supertrend period=14, mult=1.7 |
39.7% | -60.3% | 0.99 | 0.66 | 41.7x | 150 | 40% |
| Donchian 채널 돌파 entryN=181, exitN=12 |
28.1% | -30.7% | 0.97 | 0.92 | 15.9x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=3.9 |
29.6% | -43.0% | 0.93 | 0.69 | 18.1x | 12 | 13% |
| SMA 크로스오버 fast=41, slow=184 |
31.1% | -62.8% | 0.82 | 0.50 | 20.6x | 19 | 47% |
| MACD fast=7, slow=51, signal=6 |
30.3% | -74.6% | 0.81 | 0.41 | 19.2x | 254 | 50% |
| EMA 크로스오버 fast=22, slow=52 |
29.4% | -66.5% | 0.78 | 0.44 | 17.8x | 45 | 45% |
| ROC 모멘텀 n=125, threshold=-0.03 |
24.6% | -72.4% | 0.70 | 0.34 | 11.7x | 85 | 52% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
18.8% | -42.2% | 0.70 | 0.45 | 6.8x | 16 | 11% |
| ADX / DI 방향성 period=23, threshold=24 |
14.8% | -53.2% | 0.56 | 0.28 | 4.7x | 42 | 19% |
| Buy and hold | 34.9% | -82.4% | 0.80 | 0.42 | 28.3x | 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