Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 15.6%, MDD -59.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.4%, drawdown -74.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.9%, MDD -60.6%, Sharpe 0.74, 72% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 15.6%, MDD -59.7%, exposure 65%).
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=54, exitN=100 |
22.9% | -60.6% | 0.74 | 0.38 | 78.8x | 20 | 72% |
| Supertrend period=9, mult=4.4 |
19.4% | -61.6% | 0.68 | 0.31 | 42.4x | 60 | 66% |
| SMA 크로스오버 fast=52, slow=93 |
16.6% | -62.4% | 0.62 | 0.27 | 25.5x | 58 | 58% |
| ROC 모멘텀 n=107, threshold=-0.03 |
15.6% | -59.7% | 0.59 | 0.26 | 21.6x | 142 | 65% |
| EMA 크로스오버 fast=23, slow=141 |
14.8% | -61.2% | 0.57 | 0.24 | 18.5x | 46 | 63% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=3.6 |
8.6% | -37.4% | 0.51 | 0.23 | 5.8x | 44 | 14% |
| MACD fast=10, slow=59, signal=19 |
11.6% | -61.3% | 0.51 | 0.19 | 10.2x | 248 | 50% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
10.0% | -59.2% | 0.47 | 0.17 | 7.5x | 94 | 38% |
| ADX / DI 방향성 period=31, threshold=18 |
9.2% | -49.6% | 0.47 | 0.19 | 6.4x | 76 | 27% |
| Parabolic SAR step=0.01, maxStep=0.18 |
10.1% | -60.2% | 0.46 | 0.17 | 7.6x | 254 | 53% |
| Buy and hold | 20.4% | -74.8% | 0.65 | 0.27 | 50.8x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 100 days