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 33.4%, MDD -58.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 42.6%, drawdown -73.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 48.8%, MDD -73.4%, Sharpe 1.09, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 0.4%p (CAGR 33.4%, 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 |
48.8% | -73.4% | 1.09 | 0.67 | 50.8x | 159 | 48% |
| Supertrend period=11, mult=3.1 |
33.4% | -58.9% | 0.84 | 0.57 | 17.2x | 57 | 47% |
| ADX / DI 방향성 period=6, threshold=36 |
27.9% | -62.9% | 0.83 | 0.44 | 11.4x | 154 | 30% |
| 볼린저 밴드 돌파 n=12, k=1.3 |
28.3% | -57.7% | 0.81 | 0.49 | 11.7x | 187 | 38% |
| SMA 크로스오버 fast=38, slow=150 |
29.1% | -58.9% | 0.78 | 0.49 | 12.5x | 14 | 46% |
| Donchian 채널 돌파 entryN=67, exitN=4 |
19.3% | -39.8% | 0.76 | 0.48 | 5.7x | 38 | 13% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=11, mult=2.7 |
21.0% | -44.5% | 0.75 | 0.47 | 6.6x | 28 | 17% |
| ROC 모멘텀 n=125, threshold=-0.01 |
24.5% | -68.3% | 0.70 | 0.36 | 8.7x | 101 | 49% |
| MACD fast=10, slow=48, signal=19 |
21.7% | -64.5% | 0.66 | 0.34 | 7.0x | 117 | 52% |
| EMA 크로스오버 fast=29, slow=142 |
15.9% | -64.0% | 0.55 | 0.25 | 4.3x | 17 | 45% |
| Buy and hold | 42.6% | -73.8% | 0.89 | 0.58 | 33.5x | 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