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 13.3%, MDD -53.9%).

Data 2004-06-25 ~ 2026-07-31daily bars 5,395 (22.1 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 17.4%, drawdown -69.8%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.3%, MDD -61.9%, Sharpe 0.69, 63% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 8.0%p (CAGR 13.3%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=53, slow=131
19.3%-61.9%0.690.3149.5x3663%
ROC 모멘텀
n=111, threshold=0.01
17.5%-63.0%0.650.2835.0x13361%
Donchian 채널 돌파
entryN=118, exitN=78
16.0%-64.6%0.620.2526.4x2458%
EMA 크로스오버
fast=11, slow=170
15.2%-56.6%0.590.2723.0x5362%
Keltner 채널 돌파
emaPeriod=133, atrPeriod=10, mult=1
13.3%-53.9%0.550.2515.7x10255%
Supertrend
period=15, mult=4.9
12.1%-50.0%0.510.2412.6x5864%
볼린저 밴드 돌파
n=41, k=1.1
8.2%-73.7%0.420.115.7x17444%
ADX / DI 방향성
period=35, threshold=9
7.0%-64.0%0.380.114.5x23757%
Parabolic SAR
step=0.005, maxStep=0.12
4.8%-65.4%0.310.072.8x17749%
MACD
fast=17, slow=56, signal=19
4.7%-69.2%0.310.072.7x22351%
Buy and hold17.4%-69.8%0.600.2534.6x1100%
1x 10x 2005 2008 2011 2014 2017 2020 2023 2026 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -35% -52% -70% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -61.9% (2008-05-13 → 2016-01-15), recovered after 3,488 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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