Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Changchuan Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Changchuan Technology Co. Ltd. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 59.6%, MDD -40.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 65.2%, drawdown -69.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 59.6%, MDD -40.2%, Sharpe 1.27, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.6%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 59.6%, MDD -40.2%, exposure 48%).
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=0.34 |
59.6% | -40.2% | 1.27 | 1.48 | 79.9x | 121 | 48% |
| Supertrend period=5, mult=1.8 |
49.2% | -46.4% | 1.10 | 1.06 | 42.3x | 122 | 55% |
| MACD fast=14, slow=23, signal=13 |
46.7% | -50.3% | 1.10 | 0.93 | 36.1x | 126 | 49% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
59.5% | -70.3% | 1.08 | 0.85 | 79.4x | 15 | 100% |
| SMA 크로스오버 fast=39, slow=208 |
37.5% | -57.1% | 0.90 | 0.66 | 19.7x | 11 | 61% |
| 볼린저 밴드 돌파 n=23, k=2 |
31.6% | -60.8% | 0.90 | 0.52 | 13.1x | 72 | 32% |
| Donchian 채널 돌파 entryN=27, exitN=71 |
38.5% | -69.0% | 0.88 | 0.56 | 21.1x | 17 | 75% |
| EMA 크로스오버 fast=29, slow=198 |
34.5% | -58.0% | 0.85 | 0.60 | 16.1x | 17 | 65% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=1.2 |
29.0% | -55.5% | 0.84 | 0.52 | 10.9x | 94 | 37% |
| ADX / DI 방향성 period=32, threshold=13 |
26.0% | -57.3% | 0.73 | 0.45 | 8.7x | 65 | 52% |
| Buy and hold | 65.2% | -69.6% | 1.13 | 0.94 | 110.1x | 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