Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhuzhou Smelter Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhuzhou Smelter Group Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.5%, MDD -60.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.9%, drawdown -91.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.5%, MDD -60.9%, Sharpe 0.70, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 20.5%, MDD -60.9%, exposure 44%).
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=68, exitN=55 |
20.5% | -60.9% | 0.70 | 0.34 | 59.7x | 30 | 44% |
| Supertrend period=21, mult=2.5 |
18.5% | -66.4% | 0.66 | 0.28 | 41.0x | 170 | 47% |
| SMA 크로스오버 fast=29, slow=182 |
16.3% | -76.4% | 0.60 | 0.21 | 27.5x | 39 | 48% |
| MACD fast=19, slow=53, signal=17 |
14.8% | -72.7% | 0.56 | 0.20 | 20.4x | 198 | 52% |
| 볼린저 밴드 돌파 n=25, k=0.9 |
14.1% | -71.7% | 0.56 | 0.20 | 17.9x | 250 | 42% |
| Parabolic SAR step=0.015, maxStep=0.06 |
13.2% | -67.2% | 0.53 | 0.20 | 15.1x | 276 | 49% |
| ROC 모멘텀 n=89, threshold=0.02 |
13.1% | -81.0% | 0.52 | 0.16 | 14.7x | 183 | 50% |
| ADX / DI 방향성 period=36, threshold=12 |
12.7% | -78.8% | 0.51 | 0.16 | 13.7x | 144 | 48% |
| EMA 크로스오버 fast=46, slow=81 |
11.5% | -89.0% | 0.48 | 0.13 | 10.8x | 43 | 51% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=1.4 |
10.7% | -68.4% | 0.47 | 0.16 | 9.3x | 140 | 39% |
| Buy and hold | 8.9% | -91.3% | 0.43 | 0.10 | 6.4x | 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 68 days
- Sell — Sell when price breaks below the lowest low of the last 55 days