Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Longsheng Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Longsheng Group Co. Ltd. Class A. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.1%, MDD -51.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.5%, drawdown -74.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -70.5%, Sharpe 0.57, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 4.5%p (CAGR 13.1%, MDD -51.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=28 |
13.6% | -70.5% | 0.57 | 0.19 | 18.9x | 88 | 56% |
| Supertrend period=13, mult=3.3 |
13.1% | -51.0% | 0.56 | 0.26 | 17.0x | 117 | 50% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=28, mult=4 |
10.2% | -49.2% | 0.56 | 0.21 | 9.4x | 40 | 16% |
| ADX / DI 방향성 period=19, threshold=27 |
9.6% | -53.3% | 0.55 | 0.18 | 8.3x | 70 | 15% |
| SMA 크로스오버 fast=14, slow=56 |
10.5% | -65.9% | 0.48 | 0.16 | 9.9x | 111 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
10.0% | -61.7% | 0.48 | 0.16 | 9.0x | 173 | 47% |
| EMA 크로스오버 fast=40, slow=115 |
10.0% | -67.9% | 0.46 | 0.15 | 8.9x | 55 | 51% |
| 볼린저 밴드 돌파 n=45, k=1.7 |
8.5% | -69.0% | 0.44 | 0.12 | 6.5x | 127 | 36% |
| ROC 모멘텀 n=141, threshold=-0.04 |
9.1% | -73.3% | 0.43 | 0.12 | 7.4x | 163 | 60% |
| MACD fast=17, slow=46, signal=14 |
8.2% | -77.1% | 0.42 | 0.11 | 6.1x | 281 | 51% |
| Buy and hold | 11.5% | -74.9% | 0.48 | 0.15 | 12.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 24 days
- Sell — Sell when price breaks below the lowest low of the last 28 days