Trend-Following Backtester · Guide · backtest 한국어
equity · CN
EverProX Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of EverProX Technologies Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 34.3%, MDD -58.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 37.3%, drawdown -73.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 46.8%, MDD -73.4%, Sharpe 1.07, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 0.4%p (CAGR 34.3%, MDD -58.9%, exposure 47%).
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=0.12 |
46.8% | -73.4% | 1.07 | 0.64 | 43.1x | 156 | 47% |
| Supertrend period=11, mult=3.1 |
34.3% | -58.9% | 0.86 | 0.58 | 18.0x | 56 | 47% |
| ADX / DI 방향성 period=6, threshold=36 |
29.4% | -62.9% | 0.86 | 0.47 | 12.5x | 150 | 30% |
| 볼린저 밴드 돌파 n=12, k=1.3 |
28.0% | -57.7% | 0.80 | 0.48 | 11.2x | 184 | 38% |
| Donchian 채널 돌파 entryN=67, exitN=4 |
19.5% | -39.8% | 0.77 | 0.49 | 5.7x | 38 | 13% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=11, mult=2.7 |
21.2% | -44.5% | 0.75 | 0.48 | 6.6x | 28 | 18% |
| SMA 크로스오버 fast=38, slow=150 |
23.7% | -58.9% | 0.69 | 0.40 | 8.1x | 13 | 46% |
| MACD fast=10, slow=48, signal=19 |
19.4% | -64.5% | 0.62 | 0.30 | 5.7x | 116 | 51% |
| ROC 모멘텀 n=125, threshold=-0.01 |
19.7% | -68.3% | 0.62 | 0.29 | 5.8x | 100 | 49% |
| EMA 크로스오버 fast=29, slow=142 |
16.3% | -64.0% | 0.56 | 0.25 | 4.4x | 15 | 45% |
| Buy and hold | 37.3% | -73.8% | 0.83 | 0.51 | 22.3x | 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