Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Juhua Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Juhua Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -81.3%).
Sharpe leader (same as main): Supertrend — CAGR 12.2%, MDD -75.3%, Sharpe 0.51, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=2.9 |
12.2% | -75.3% | 0.51 | 0.16 | 25.6x | 182 | 55% |
| SMA 크로스오버 fast=15, slow=218 |
10.4% | -79.0% | 0.46 | 0.13 | 16.3x | 59 | 54% |
| 볼린저 밴드 돌파 n=42, k=1.1 |
9.4% | -70.3% | 0.45 | 0.13 | 12.6x | 200 | 41% |
| EMA 크로스오버 fast=53, slow=106 |
9.6% | -81.1% | 0.44 | 0.12 | 13.3x | 51 | 54% |
| MACD fast=19, slow=35, signal=18 |
9.3% | -67.0% | 0.44 | 0.14 | 12.3x | 298 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
7.4% | -72.8% | 0.38 | 0.10 | 7.4x | 224 | 50% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=14, mult=1.8 |
6.8% | -60.7% | 0.37 | 0.11 | 6.3x | 166 | 33% |
| Donchian 채널 돌파 entryN=99, exitN=69 |
6.0% | -79.0% | 0.35 | 0.08 | 5.2x | 37 | 47% |
| ROC 모멘텀 n=101, threshold=0.06 |
4.9% | -82.5% | 0.31 | 0.06 | 3.8x | 302 | 43% |
| ADX / DI 방향성 period=33, threshold=10 |
3.1% | -79.3% | 0.26 | 0.04 | 2.3x | 284 | 50% |
| Buy and hold | 10.7% | -81.3% | 0.46 | 0.13 | 17.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)