Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Zhongtian Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Zhongtian Technology Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 12.6%, drawdown -74.1%).
Sharpe leader (same as main): Supertrend — CAGR 12.8%, MDD -61.3%, Sharpe 0.54, 50% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.9%, MDD -62.9%, exposure 52%.
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=25, mult=2.4 |
12.8% | -61.3% | 0.54 | 0.21 | 17.8x | 206 | 50% |
| SMA 크로스오버 fast=39, slow=77 |
12.9% | -62.9% | 0.53 | 0.21 | 18.1x | 76 | 52% |
| Donchian 채널 돌파 entryN=107, exitN=50 |
10.0% | -62.0% | 0.47 | 0.16 | 9.7x | 34 | 39% |
| EMA 크로스오버 fast=38, slow=92 |
10.5% | -67.9% | 0.47 | 0.15 | 10.7x | 60 | 53% |
| ADX / DI 방향성 period=17, threshold=22 |
8.9% | -45.6% | 0.46 | 0.20 | 7.6x | 168 | 27% |
| ROC 모멘텀 n=62, threshold=0.07 |
9.1% | -68.7% | 0.44 | 0.13 | 8.0x | 242 | 39% |
| 볼린저 밴드 돌파 n=44, k=1.3 |
7.8% | -63.5% | 0.41 | 0.12 | 6.0x | 148 | 40% |
| MACD fast=7, slow=12, signal=23 |
8.0% | -68.4% | 0.40 | 0.12 | 6.2x | 483 | 51% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=9, mult=3 |
6.3% | -50.0% | 0.39 | 0.13 | 4.3x | 58 | 16% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.0% | -77.7% | 0.37 | 0.09 | 5.0x | 183 | 50% |
| Buy and hold | 12.6% | -74.1% | 0.50 | 0.17 | 17.0x | 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) — 25-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)