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. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -35.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.7%, drawdown -72.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.3%, MDD -35.8%, Sharpe 0.43, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 8.3%, MDD -35.8%, 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=26, slow=122 |
8.3% | -35.8% | 0.43 | 0.23 | 3.8x | 26 | 49% |
| Donchian 채널 돌파 entryN=53, exitN=60 |
7.3% | -53.9% | 0.39 | 0.13 | 3.2x | 26 | 54% |
| SMA 크로스오버 fast=10, slow=119 |
6.9% | -45.1% | 0.38 | 0.15 | 3.0x | 42 | 50% |
| ROC 모멘텀 n=133, threshold=-0.04 |
4.9% | -50.3% | 0.31 | 0.10 | 2.2x | 104 | 58% |
| Supertrend period=9, mult=3.4 |
4.4% | -60.4% | 0.30 | 0.07 | 2.1x | 67 | 54% |
| 볼린저 밴드 돌파 n=70, k=1.7 |
3.8% | -46.2% | 0.28 | 0.08 | 1.9x | 54 | 35% |
| MACD fast=29, slow=63, signal=27 |
3.7% | -47.6% | 0.27 | 0.08 | 1.8x | 111 | 52% |
| ADX / DI 방향성 period=39, threshold=15 |
2.8% | -45.4% | 0.24 | 0.06 | 1.6x | 46 | 28% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=2.1 |
-0.6% | -56.6% | 0.09 | -0.01 | 0.9x | 66 | 31% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-8.7% | -83.7% | -0.21 | -0.10 | 0.2x | 354 | 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 26-day EMA crosses above the 122-day EMA
- Sell — Sell when the 26-day EMA falls below the 122-day EMA