Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anhui Zhongding Sealing Parts Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anhui Zhongding Sealing Parts Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.3%, MDD -64.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.5%, drawdown -94.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -73.7%, Sharpe 0.53, 65% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 12.3%, MDD -64.1%, exposure 31%).
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=36, exitN=70 |
15.4% | -73.7% | 0.53 | 0.21 | 52.0x | 58 | 65% |
| SMA 크로스오버 fast=28, slow=170 |
14.7% | -72.0% | 0.53 | 0.20 | 44.5x | 48 | 50% |
| EMA 크로스오버 fast=16, slow=70 |
14.8% | -73.3% | 0.52 | 0.20 | 45.1x | 96 | 51% |
| Supertrend period=16, mult=4.5 |
13.3% | -80.3% | 0.49 | 0.17 | 32.0x | 94 | 57% |
| ROC 모멘텀 n=143, threshold=0.22 |
12.3% | -64.1% | 0.48 | 0.19 | 24.9x | 142 | 31% |
| 볼린저 밴드 돌파 n=36, k=0.9 |
12.1% | -65.6% | 0.47 | 0.18 | 23.3x | 240 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=1.2 |
8.9% | -73.3% | 0.39 | 0.12 | 10.5x | 188 | 41% |
| ADX / DI 방향성 period=29, threshold=11 |
8.7% | -78.1% | 0.38 | 0.11 | 10.0x | 276 | 47% |
| MACD fast=16, slow=73, signal=19 |
5.7% | -76.2% | 0.34 | 0.07 | 4.6x | 272 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.0% | -83.3% | 0.24 | 0.04 | 2.3x | 224 | 49% |
| Buy and hold | 8.5% | -94.0% | 0.39 | 0.09 | 9.6x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 70 days