Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Konfoong Materials International Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Konfoong Materials International Co. Ltd. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 47.7%, drawdown -67.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 25.8%, MDD -80.0%, Sharpe 0.76, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.8%, MDD -53.1%, exposure 52%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=0.22 |
25.8% | -80.0% | 0.76 | 0.32 | 8.3x | 117 | 49% |
| SMA 크로스오버 fast=57, slow=162 |
25.8% | -53.1% | 0.75 | 0.49 | 8.3x | 15 | 52% |
| Supertrend period=13, mult=2.4 |
25.5% | -54.6% | 0.75 | 0.47 | 8.1x | 77 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=21, mult=2.2 |
20.3% | -48.1% | 0.72 | 0.42 | 5.5x | 42 | 25% |
| Donchian 채널 돌파 entryN=8, exitN=23 |
25.2% | -61.6% | 0.71 | 0.41 | 7.9x | 63 | 70% |
| ADX / DI 방향성 period=9, threshold=28 |
20.6% | -48.2% | 0.69 | 0.43 | 5.6x | 106 | 32% |
| EMA 크로스오버 fast=70, slow=162 |
20.1% | -56.2% | 0.65 | 0.36 | 5.4x | 9 | 52% |
| 볼린저 밴드 돌파 n=28, k=2.2 |
12.2% | -46.4% | 0.52 | 0.26 | 2.9x | 48 | 25% |
| ROC 모멘텀 n=36, threshold=-0.02 |
9.3% | -68.9% | 0.43 | 0.14 | 2.3x | 166 | 57% |
| MACD fast=18, slow=51, signal=16 |
2.3% | -71.8% | 0.25 | 0.03 | 1.2x | 106 | 50% |
| Buy and hold | 47.7% | -67.6% | 0.99 | 0.71 | 36.4x | 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