Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang NHU Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang NHU Co. Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.2%, MDD -53.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.8%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.2%, MDD -61.9%, Sharpe 0.68, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 8.0%p (CAGR 13.2%, MDD -53.9%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=131 |
19.2% | -61.9% | 0.68 | 0.31 | 49.5x | 36 | 62% |
| ROC 모멘텀 n=111, threshold=0.01 |
17.2% | -63.0% | 0.64 | 0.27 | 33.9x | 138 | 61% |
| Donchian 채널 돌파 entryN=118, exitN=78 |
15.9% | -64.6% | 0.62 | 0.25 | 26.4x | 24 | 57% |
| EMA 크로스오버 fast=11, slow=170 |
14.8% | -56.6% | 0.58 | 0.26 | 21.4x | 54 | 62% |
| Keltner 채널 돌파 emaPeriod=133, atrPeriod=10, mult=1 |
13.2% | -53.9% | 0.55 | 0.25 | 15.7x | 102 | 55% |
| Supertrend period=15, mult=4.9 |
12.1% | -50.0% | 0.51 | 0.24 | 12.6x | 58 | 64% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
7.6% | -73.7% | 0.40 | 0.10 | 5.1x | 176 | 44% |
| ADX / DI 방향성 period=35, threshold=9 |
6.4% | -64.0% | 0.36 | 0.10 | 4.0x | 242 | 56% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.4% | -65.4% | 0.30 | 0.07 | 2.6x | 178 | 49% |
| MACD fast=17, slow=56, signal=19 |
4.4% | -69.2% | 0.30 | 0.06 | 2.6x | 224 | 51% |
| Buy and hold | 16.8% | -69.8% | 0.58 | 0.24 | 31.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 53-day average falls below the 131-day average