Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang China Commodities City Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang China Commodities City Group Co. Ltd. Class A. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.3%, MDD -54.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.9%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.0%, MDD -59.4%, Sharpe 0.72, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 15.3%, MDD -54.0%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=125 |
19.0% | -59.4% | 0.72 | 0.32 | 68.1x | 50 | 48% |
| EMA 크로스오버 fast=14, slow=82 |
17.6% | -75.0% | 0.68 | 0.23 | 50.7x | 72 | 48% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
15.4% | -60.6% | 0.65 | 0.25 | 32.3x | 139 | 38% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=11, mult=1.2 |
15.2% | -61.1% | 0.64 | 0.25 | 30.8x | 153 | 38% |
| Supertrend period=15, mult=2.8 |
15.3% | -54.0% | 0.63 | 0.28 | 31.2x | 157 | 45% |
| ROC 모멘텀 n=101, threshold=-0.03 |
15.8% | -71.2% | 0.62 | 0.22 | 35.1x | 168 | 53% |
| Parabolic SAR step=0.005, maxStep=0.28 |
14.1% | -63.3% | 0.60 | 0.22 | 24.4x | 169 | 45% |
| Donchian 채널 돌파 entryN=48, exitN=35 |
14.2% | -57.8% | 0.60 | 0.25 | 25.0x | 62 | 45% |
| ADX / DI 방향성 period=22, threshold=30 |
10.0% | -35.2% | 0.57 | 0.28 | 10.0x | 46 | 12% |
| MACD fast=19, slow=50, signal=18 |
10.3% | -67.3% | 0.48 | 0.15 | 10.8x | 245 | 51% |
| Buy and hold | 12.9% | -83.1% | 0.51 | 0.16 | 19.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 13-day average falls below the 125-day average