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. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 39.5%, MDD -35.9%).

Data 2018-11-09 ~ 2026-07-31daily bars 1,872 (7.7 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 31.7%, drawdown -80.8%).

Sharpe leader (same as main): Parabolic SAR — CAGR 51.3%, MDD -50.0%, Sharpe 1.14, 52% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 39.5%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Parabolic SAR
step=0.015, maxStep=0.32
51.3%-50.0%1.141.0324.4x13052%
볼린저 밴드 돌파
n=33, k=2.6
39.5%-35.9%1.091.1013.1x2628%
Supertrend
period=22, mult=1.9
45.2%-51.8%1.070.8717.8x9045%
ADX / DI 방향성
period=14, threshold=25
41.2%-47.1%1.040.8814.4x6238%
Keltner 채널 돌파
emaPeriod=36, atrPeriod=15, mult=2
39.0%-46.2%1.010.8412.7x4039%
EMA 크로스오버
fast=1, slow=129
40.4%-47.8%0.970.8513.8x4448%
MACD
fast=14, slow=59, signal=9
38.4%-51.9%0.960.7412.3x10650%
Donchian 채널 돌파
entryN=16, exitN=9
35.1%-42.6%0.930.8210.2x5443%
ROC 모멘텀
n=14, threshold=0.01
35.6%-53.7%0.900.6610.5x19050%
SMA 크로스오버
fast=32, slow=40
31.0%-58.0%0.820.538.0x4952%
Buy and hold31.7%-80.8%0.770.398.4x1100%
1x 10x 2019 2020 2021 2022 2023 2024 2025 2026 Parabolic SARBuy and hold
Parabolic SAR: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -61% -81% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdParabolic SAR
Parabolic SAR maximum drawdown -50.0% (2022-06-27 → 2023-06-21), recovered after 1,162 days.

Rules of the top strategy

Trades around the Parabolic SAR dots that accelerate toward price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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