Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang XCC Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang XCC Group Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.3%, MDD -44.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.7%, drawdown -83.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 18.9%, MDD -65.0%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 16.3%, MDD -44.8%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
18.9% | -65.0% | 0.64 | 0.29 | 5.6x | 112 | 47% |
| 볼린저 밴드 돌파 n=43, k=3.4 |
13.0% | -36.9% | 0.60 | 0.35 | 3.4x | 14 | 13% |
| Donchian 채널 돌파 entryN=55, exitN=67 |
16.3% | -44.8% | 0.58 | 0.36 | 4.5x | 12 | 60% |
| SMA 크로스오버 fast=25, slow=88 |
14.3% | -47.4% | 0.54 | 0.30 | 3.8x | 28 | 43% |
| EMA 크로스오버 fast=40, slow=61 |
13.3% | -58.3% | 0.52 | 0.23 | 3.4x | 24 | 45% |
| ROC 모멘텀 n=82, threshold=-0.01 |
12.6% | -57.3% | 0.50 | 0.22 | 3.3x | 90 | 47% |
| ADX / DI 방향성 period=29, threshold=14 |
11.0% | -74.6% | 0.47 | 0.15 | 2.8x | 64 | 42% |
| Supertrend period=8, mult=4.3 |
10.8% | -80.2% | 0.46 | 0.14 | 2.8x | 34 | 54% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=18, mult=1.9 |
9.5% | -53.0% | 0.44 | 0.18 | 2.5x | 48 | 29% |
| MACD fast=8, slow=34, signal=7 |
3.2% | -79.0% | 0.28 | 0.04 | 1.4x | 197 | 53% |
| Buy and hold | 17.7% | -83.0% | 0.58 | 0.21 | 5.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots