Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Eoptolink Technology Inc., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Eoptolink Technology Inc., Ltd. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 61.9%, MDD -55.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 66.4%, drawdown -77.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 57.8%, MDD -57.0%, Sharpe 1.22, 48% exposure.
CAGR reference leader: Supertrend — CAGR 61.9%, MDD -55.9%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 8.6%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 61.9%, MDD -55.9%, exposure 59%).
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=0.3 |
57.8% | -57.0% | 1.22 | 1.01 | 120.0x | 135 | 48% |
| Supertrend period=21, mult=4.8 |
61.9% | -55.9% | 1.20 | 1.11 | 156.6x | 26 | 59% |
| EMA 크로스오버 fast=32, slow=70 |
53.3% | -54.9% | 1.08 | 0.97 | 88.4x | 24 | 61% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=0.9 |
44.8% | -46.0% | 1.07 | 0.98 | 48.7x | 124 | 40% |
| 볼린저 밴드 돌파 n=18, k=1 |
43.7% | -50.6% | 1.04 | 0.86 | 44.9x | 152 | 43% |
| Donchian 채널 돌파 entryN=50, exitN=60 |
50.5% | -64.7% | 1.04 | 0.78 | 73.2x | 17 | 66% |
| ROC 모멘텀 n=74, threshold=-0.02 |
49.0% | -63.4% | 1.03 | 0.77 | 65.6x | 78 | 62% |
| SMA 크로스오버 fast=26, slow=111 |
46.7% | -64.9% | 1.00 | 0.72 | 55.8x | 22 | 61% |
| ADX / DI 방향성 period=17, threshold=16 |
36.8% | -53.1% | 0.91 | 0.69 | 26.7x | 124 | 45% |
| MACD fast=18, slow=26, signal=14 |
32.1% | -64.1% | 0.84 | 0.50 | 18.5x | 131 | 49% |
| Buy and hold | 66.4% | -77.0% | 1.13 | 0.86 | 208.8x | 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