Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhongshan Broad-Ocean Motor Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhongshan Broad-Ocean Motor Co., Ltd. Class A. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.0%, MDD -33.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.3%, drawdown -80.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.3%, MDD -68.2%, Sharpe 0.54, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 6.0%, MDD -33.3%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=117 |
13.3% | -68.2% | 0.54 | 0.20 | 9.9x | 26 | 51% |
| SMA 크로스오버 fast=22, slow=148 |
13.1% | -73.9% | 0.53 | 0.18 | 9.6x | 30 | 51% |
| Donchian 채널 돌파 entryN=57, exitN=64 |
10.9% | -78.0% | 0.48 | 0.14 | 6.7x | 28 | 55% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
7.0% | -51.4% | 0.45 | 0.14 | 3.5x | 38 | 12% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=2.4 |
6.0% | -33.3% | 0.45 | 0.18 | 2.9x | 40 | 9% |
| ROC 모멘텀 n=144, threshold=-0.03 |
8.8% | -76.9% | 0.42 | 0.11 | 4.7x | 124 | 56% |
| Parabolic SAR step=0.02, maxStep=0.34 |
7.9% | -65.2% | 0.40 | 0.12 | 4.0x | 343 | 50% |
| ADX / DI 방향성 period=16, threshold=39 |
5.4% | -49.8% | 0.38 | 0.11 | 2.6x | 38 | 8% |
| Supertrend period=29, mult=2 |
7.1% | -54.2% | 0.38 | 0.13 | 3.5x | 216 | 48% |
| MACD fast=12, slow=27, signal=7 |
5.0% | -66.6% | 0.32 | 0.07 | 2.4x | 343 | 51% |
| Buy and hold | 5.3% | -80.4% | 0.34 | 0.07 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 117-day EMA
- Sell — Sell when the 42-day EMA falls below the 117-day EMA