Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zoomlion Heavy Industry Science & Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zoomlion Heavy Industry Science & Technology Co. Ltd. Class A. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.2%, MDD -42.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.3%, drawdown -75.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.2%, MDD -42.2%, Sharpe 0.66, 25% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.5%, MDD -47.2%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 13.2%, MDD -42.2%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=58, k=2.5 |
13.2% | -42.2% | 0.66 | 0.31 | 24.9x | 56 | 25% |
| Donchian 채널 돌파 entryN=67, exitN=52 |
14.5% | -47.2% | 0.64 | 0.31 | 32.9x | 42 | 43% |
| EMA 크로스오버 fast=17, slow=67 |
13.6% | -55.2% | 0.60 | 0.25 | 27.2x | 94 | 49% |
| SMA 크로스오버 fast=15, slow=120 |
13.5% | -52.1% | 0.59 | 0.26 | 26.8x | 68 | 50% |
| Supertrend period=8, mult=4.1 |
13.4% | -59.7% | 0.58 | 0.22 | 26.0x | 94 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=2.2 |
11.0% | -63.5% | 0.55 | 0.17 | 14.9x | 108 | 31% |
| ADX / DI 방향성 period=31, threshold=13 |
10.9% | -60.2% | 0.52 | 0.18 | 14.5x | 200 | 46% |
| ROC 모멘텀 n=105, threshold=0.04 |
9.3% | -60.0% | 0.46 | 0.16 | 10.1x | 190 | 43% |
| MACD fast=7, slow=54, signal=18 |
7.0% | -59.1% | 0.39 | 0.12 | 5.8x | 370 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.3% | -79.6% | 0.26 | 0.04 | 2.3x | 206 | 47% |
| Buy and hold | 9.3% | -75.6% | 0.43 | 0.12 | 10.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 58-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 58-day middle average