Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Chint Electrics Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Chint Electrics Co., Ltd Class A. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.1%, MDD -36.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.7%, drawdown -72.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.1%, MDD -36.7%, Sharpe 0.39, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 7.1%, MDD -36.7%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=32, slow=112 |
7.1% | -36.7% | 0.39 | 0.19 | 3.1x | 30 | 49% |
| Donchian 채널 돌파 entryN=57, exitN=63 |
6.9% | -53.9% | 0.38 | 0.13 | 3.0x | 26 | 54% |
| SMA 크로스오버 fast=35, slow=78 |
6.4% | -48.3% | 0.37 | 0.13 | 2.8x | 62 | 50% |
| Supertrend period=12, mult=3.5 |
4.2% | -55.4% | 0.29 | 0.08 | 2.0x | 66 | 53% |
| 볼린저 밴드 돌파 n=71, k=1.5 |
3.4% | -48.0% | 0.26 | 0.07 | 1.7x | 60 | 37% |
| ROC 모멘텀 n=126, threshold=-0.01 |
2.7% | -42.7% | 0.24 | 0.06 | 1.6x | 146 | 53% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=19, mult=2.3 |
2.2% | -45.9% | 0.21 | 0.05 | 1.4x | 56 | 33% |
| ADX / DI 방향성 period=32, threshold=15 |
-0.3% | -62.7% | 0.11 | -0.00 | 0.9x | 82 | 33% |
| MACD fast=6, slow=71, signal=17 |
-2.5% | -56.5% | 0.03 | -0.04 | 0.7x | 245 | 51% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-8.3% | -83.7% | -0.19 | -0.10 | 0.2x | 349 | 51% |
| Buy and hold | 0.7% | -72.9% | 0.21 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 112-day EMA
- Sell — Sell when the 32-day EMA falls below the 112-day EMA