Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Zheneng Electric Power Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Zheneng Electric Power Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -17.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.7%, drawdown -78.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.7%, MDD -57.1%, Sharpe 0.29, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 1.3%, MDD -17.7%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=10, mult=3.5 |
3.7% | -57.1% | 0.29 | 0.06 | 1.6x | 20 | 18% |
| SMA 크로스오버 fast=32, slow=108 |
3.2% | -63.5% | 0.26 | 0.05 | 1.5x | 32 | 43% |
| Donchian 채널 돌파 entryN=95, exitN=27 |
2.4% | -67.1% | 0.22 | 0.04 | 1.3x | 22 | 29% |
| ADX / DI 방향성 period=32, threshold=32 |
1.3% | -17.7% | 0.19 | 0.07 | 1.2x | 6 | 6% |
| EMA 크로스오버 fast=37, slow=51 |
1.3% | -76.5% | 0.17 | 0.02 | 1.2x | 40 | 41% |
| 볼린저 밴드 돌파 n=50, k=3 |
1.3% | -63.9% | 0.17 | 0.02 | 1.2x | 28 | 18% |
| Supertrend period=12, mult=4.7 |
1.1% | -65.5% | 0.16 | 0.02 | 1.1x | 34 | 53% |
| ROC 모멘텀 n=100, threshold=0.1 |
0.8% | -66.8% | 0.15 | 0.01 | 1.1x | 50 | 20% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.3% | -68.2% | -0.08 | -0.06 | 0.6x | 156 | 46% |
| MACD fast=18, slow=57, signal=17 |
-5.4% | -75.3% | -0.14 | -0.07 | 0.5x | 127 | 52% |
| Buy and hold | -2.7% | -78.9% | 0.07 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 77-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 77-day average