Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suzhou Maxwell Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Suzhou Maxwell Technologies Co., Ltd. Class A. 7 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 39.0%, MDD -35.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 38.2%, drawdown -80.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 55.5%, MDD -50.0%, Sharpe 1.19, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 39.0%, MDD -35.9%, exposure 28%).
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=0.32 |
55.5% | -50.0% | 1.19 | 1.11 | 31.5x | 131 | 52% |
| Supertrend period=22, mult=1.9 |
47.8% | -51.8% | 1.11 | 0.92 | 21.2x | 91 | 45% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
39.0% | -35.9% | 1.09 | 1.09 | 13.1x | 26 | 28% |
| ADX / DI 방향성 period=14, threshold=25 |
41.4% | -53.0% | 1.04 | 0.78 | 15.0x | 63 | 38% |
| MACD fast=14, slow=59, signal=9 |
41.8% | -51.9% | 1.01 | 0.80 | 15.3x | 107 | 50% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=15, mult=2 |
38.5% | -46.2% | 1.00 | 0.83 | 12.7x | 40 | 38% |
| Donchian 채널 돌파 entryN=16, exitN=9 |
37.7% | -42.6% | 0.97 | 0.88 | 12.1x | 55 | 43% |
| EMA 크로스오버 fast=1, slow=129 |
40.0% | -48.7% | 0.96 | 0.82 | 13.8x | 45 | 48% |
| ROC 모멘텀 n=14, threshold=0.01 |
38.0% | -53.7% | 0.93 | 0.71 | 12.4x | 193 | 50% |
| SMA 크로스오버 fast=32, slow=40 |
32.7% | -58.0% | 0.85 | 0.56 | 9.1x | 50 | 51% |
| Buy and hold | 38.2% | -80.8% | 0.85 | 0.47 | 12.5x | 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