Trend-Following Backtester · Guide · backtest 한국어
equity · CN
TCL Zhonghuan Renewable Energy Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of TCL Zhonghuan Renewable Energy Technology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.9%, MDD -34.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.1%, drawdown -85.3%).
Sharpe leader (same as main): Supertrend — CAGR 16.0%, MDD -67.1%, Sharpe 0.62, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 6.9%, MDD -34.9%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=2.7 |
16.0% | -67.1% | 0.62 | 0.24 | 17.6x | 122 | 45% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
14.5% | -50.9% | 0.60 | 0.29 | 13.7x | 102 | 37% |
| MACD fast=22, slow=37, signal=19 |
14.1% | -68.1% | 0.56 | 0.21 | 12.7x | 158 | 55% |
| EMA 크로스오버 fast=18, slow=45 |
13.4% | -59.5% | 0.54 | 0.22 | 11.2x | 70 | 46% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=22, mult=1.2 |
12.2% | -62.7% | 0.53 | 0.19 | 9.2x | 116 | 37% |
| SMA 크로스오버 fast=10, slow=134 |
11.3% | -58.2% | 0.49 | 0.19 | 7.8x | 52 | 49% |
| ROC 모멘텀 n=96, threshold=-0.04 |
11.4% | -69.5% | 0.48 | 0.16 | 8.0x | 150 | 62% |
| Donchian 채널 돌파 entryN=13, exitN=13 |
11.1% | -72.9% | 0.48 | 0.15 | 7.6x | 134 | 55% |
| ADX / DI 방향성 period=16, threshold=26 |
6.9% | -34.9% | 0.40 | 0.20 | 3.6x | 112 | 19% |
| Parabolic SAR step=0.025, maxStep=0.22 |
5.3% | -63.8% | 0.33 | 0.08 | 2.7x | 387 | 47% |
| Buy and hold | 5.1% | -85.3% | 0.35 | 0.06 | 2.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)