Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Sidike New Materials Science & Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Sidike New Materials Science & 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 47.7%, MDD -51.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 49.8%, drawdown -76.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 47.7%, MDD -51.7%, Sharpe 1.07, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 25.1%p (CAGR 47.7%, MDD -51.7%, exposure 51%).
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=0.02, maxStep=0.24 |
47.7% | -51.7% | 1.07 | 0.92 | 14.0x | 132 | 51% |
| Donchian 채널 돌파 entryN=63, exitN=64 |
35.4% | -54.6% | 0.88 | 0.65 | 7.8x | 7 | 49% |
| MACD fast=19, slow=29, signal=14 |
32.3% | -48.9% | 0.86 | 0.66 | 6.6x | 77 | 47% |
| Supertrend period=10, mult=4.2 |
34.5% | -66.0% | 0.85 | 0.52 | 7.4x | 20 | 61% |
| SMA 크로스오버 fast=57, slow=164 |
31.7% | -59.0% | 0.82 | 0.54 | 6.4x | 13 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.8 |
27.7% | -47.2% | 0.82 | 0.59 | 5.2x | 57 | 33% |
| ROC 모멘텀 n=52, threshold=0.11 |
26.9% | -49.7% | 0.77 | 0.54 | 5.0x | 60 | 39% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=1.7 |
22.5% | -33.8% | 0.77 | 0.66 | 3.9x | 44 | 22% |
| EMA 크로스오버 fast=38, slow=125 |
28.6% | -62.9% | 0.77 | 0.45 | 5.5x | 11 | 59% |
| ADX / DI 방향성 period=23, threshold=12 |
14.5% | -74.1% | 0.53 | 0.20 | 2.5x | 78 | 55% |
| Buy and hold | 49.8% | -76.8% | 0.97 | 0.65 | 15.4x | 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