Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sunny Optical Technology (Group) Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sunny Optical Technology (Group) Co., Ltd.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 25.8%, MDD -49.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.8%, drawdown -88.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 28.7%, MDD -59.4%, Sharpe 0.86, 56% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 25.8%, MDD -49.8%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=51 |
28.7% | -59.4% | 0.86 | 0.48 | 124.5x | 64 | 56% |
| SMA 크로스오버 fast=4, slow=72 |
26.8% | -59.7% | 0.83 | 0.45 | 94.4x | 110 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=1.9 |
23.9% | -61.0% | 0.81 | 0.39 | 59.9x | 78 | 43% |
| ROC 모멘텀 n=159, threshold=0.11 |
25.8% | -49.8% | 0.81 | 0.52 | 80.7x | 92 | 54% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
24.6% | -59.8% | 0.81 | 0.41 | 66.8x | 102 | 46% |
| Supertrend period=18, mult=3.5 |
23.1% | -63.8% | 0.75 | 0.36 | 53.1x | 84 | 55% |
| Donchian 채널 돌파 entryN=31, exitN=29 |
22.4% | -61.8% | 0.73 | 0.36 | 47.6x | 62 | 56% |
| ADX / DI 방향성 period=24, threshold=13 |
19.9% | -70.2% | 0.70 | 0.28 | 32.2x | 176 | 49% |
| MACD fast=27, slow=70, signal=14 |
12.8% | -75.8% | 0.51 | 0.17 | 10.0x | 166 | 54% |
| Parabolic SAR step=0.03, maxStep=0.14 |
8.8% | -77.4% | 0.42 | 0.11 | 5.1x | 445 | 52% |
| Buy and hold | 14.8% | -88.6% | 0.53 | 0.17 | 13.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 51-day EMA
- Sell — Sell when the 19-day EMA falls below the 51-day EMA