Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Dahua Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Dahua Technology Co. Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.1%, MDD -49.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.9%, drawdown -63.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.1%, MDD -49.7%, Sharpe 0.65, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.2%, MDD -51.2%, exposure 77%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 13.7%p (CAGR 17.1%, MDD -49.7%, exposure 61%).
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=52, slow=198 |
17.1% | -49.7% | 0.65 | 0.34 | 17.8x | 22 | 61% |
| EMA 크로스오버 fast=42, slow=149 |
16.7% | -58.4% | 0.63 | 0.29 | 16.7x | 26 | 62% |
| Donchian 채널 돌파 entryN=34, exitN=99 |
17.2% | -51.2% | 0.62 | 0.34 | 18.2x | 26 | 77% |
| Supertrend period=22, mult=4.5 |
13.1% | -44.0% | 0.56 | 0.30 | 9.4x | 54 | 53% |
| 볼린저 밴드 돌파 n=57, k=0.7 |
12.3% | -45.2% | 0.55 | 0.27 | 8.2x | 112 | 46% |
| ADX / DI 방향성 period=37, threshold=8 |
12.0% | -53.0% | 0.52 | 0.23 | 7.9x | 190 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
12.1% | -55.4% | 0.50 | 0.22 | 8.1x | 145 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=1.4 |
10.0% | -54.6% | 0.48 | 0.18 | 5.7x | 110 | 43% |
| ROC 모멘텀 n=93, threshold=0.04 |
10.2% | -72.3% | 0.48 | 0.14 | 5.9x | 178 | 51% |
| MACD fast=23, slow=49, signal=24 |
9.5% | -62.0% | 0.45 | 0.15 | 5.2x | 139 | 52% |
| Buy and hold | 19.9% | -63.4% | 0.63 | 0.31 | 27.5x | 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 52-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 52-day average falls below the 198-day average