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 60.6%, MDD -40.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 64.7%, drawdown -69.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 60.6%, MDD -40.2%, Sharpe 1.29, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 60.6%, 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 |
60.6% | -40.2% | 1.29 | 1.51 | 81.0x | 120 | 48% |
| Supertrend period=5, mult=1.8 |
52.1% | -46.4% | 1.14 | 1.12 | 49.1x | 120 | 55% |
| MACD fast=14, slow=23, signal=13 |
49.1% | -50.3% | 1.13 | 0.98 | 40.7x | 124 | 49% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
60.5% | -70.3% | 1.09 | 0.86 | 80.6x | 13 | 100% |
| 볼린저 밴드 돌파 n=23, k=2 |
31.9% | -60.8% | 0.91 | 0.52 | 13.1x | 72 | 33% |
| SMA 크로스오버 fast=39, slow=208 |
36.8% | -57.1% | 0.89 | 0.64 | 18.4x | 11 | 60% |
| Donchian 채널 돌파 entryN=27, exitN=71 |
37.8% | -69.0% | 0.87 | 0.55 | 19.7x | 17 | 75% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=1.2 |
29.3% | -55.5% | 0.84 | 0.53 | 10.9x | 94 | 37% |
| EMA 크로스오버 fast=29, slow=198 |
33.9% | -58.0% | 0.84 | 0.58 | 15.0x | 17 | 65% |
| ADX / DI 방향성 period=32, threshold=13 |
27.9% | -57.3% | 0.77 | 0.49 | 9.8x | 63 | 52% |
| Buy and hold | 64.7% | -69.6% | 1.13 | 0.93 | 102.4x | 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