Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sharetronic Data Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sharetronic Data 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 71.1%, MDD -40.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 82.0%, drawdown -66.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 71.1%, MDD -40.5%, Sharpe 1.36, 51% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 71.1%, MDD -45.2%, exposure 63%.
Return/drawdown alternative: Parabolic SAR — CAGR is 10.9%p lower than buy and hold, while drawdown improves by 25.9%p (CAGR 71.1%, MDD -40.5%, 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=0.01, maxStep=0.12 |
71.1% | -40.5% | 1.36 | 1.76 | 26.4x | 73 | 51% |
| ROC 모멘텀 n=172, threshold=0 |
71.1% | -45.2% | 1.26 | 1.57 | 26.4x | 21 | 63% |
| Donchian 채널 돌파 entryN=7, exitN=57 |
63.3% | -49.1% | 1.12 | 1.29 | 19.9x | 19 | 87% |
| SMA 크로스오버 fast=56, slow=217 |
57.5% | -45.2% | 1.11 | 1.27 | 16.0x | 3 | 63% |
| EMA 크로스오버 fast=44, slow=207 |
56.1% | -45.2% | 1.08 | 1.24 | 15.1x | 5 | 65% |
| MACD fast=16, slow=39, signal=18 |
38.6% | -40.8% | 0.98 | 0.95 | 7.3x | 63 | 49% |
| Supertrend period=16, mult=1.6 |
38.1% | -50.5% | 0.95 | 0.75 | 7.1x | 93 | 48% |
| 볼린저 밴드 돌파 n=30, k=3 |
22.7% | -31.9% | 0.82 | 0.71 | 3.5x | 16 | 15% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=17, mult=1.3 |
24.1% | -52.9% | 0.71 | 0.45 | 3.7x | 54 | 44% |
| ADX / DI 방향성 period=9, threshold=17 |
16.7% | -74.4% | 0.56 | 0.22 | 2.6x | 125 | 56% |
| Buy and hold | 82.0% | -66.4% | 1.27 | 1.23 | 38.4x | 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