Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Shuanghuan Driveline Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Shuanghuan Driveline Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.9%, MDD -55.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.5%, drawdown -78.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -72.8%, Sharpe 0.54, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 5.8%p (CAGR 8.9%, MDD -55.5%, exposure 35%).
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=110, exitN=57 |
12.3% | -72.8% | 0.54 | 0.17 | 6.4x | 16 | 38% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=18, mult=1.7 |
10.0% | -56.9% | 0.51 | 0.18 | 4.6x | 106 | 24% |
| EMA 크로스오버 fast=11, slow=219 |
11.4% | -74.6% | 0.49 | 0.15 | 5.6x | 28 | 43% |
| ADX / DI 방향성 period=24, threshold=19 |
9.9% | -60.2% | 0.48 | 0.16 | 4.5x | 74 | 31% |
| SMA 크로스오버 fast=38, slow=126 |
10.6% | -79.0% | 0.48 | 0.13 | 5.0x | 26 | 45% |
| 볼린저 밴드 돌파 n=18, k=1.4 |
8.9% | -55.5% | 0.45 | 0.16 | 3.9x | 188 | 35% |
| ROC 모멘텀 n=93, threshold=0.06 |
9.0% | -68.0% | 0.43 | 0.13 | 4.0x | 110 | 39% |
| Supertrend period=25, mult=2.3 |
8.6% | -60.5% | 0.43 | 0.14 | 3.8x | 152 | 44% |
| MACD fast=24, slow=52, signal=19 |
7.1% | -65.6% | 0.38 | 0.11 | 3.0x | 142 | 50% |
| Parabolic SAR step=0.015, maxStep=0.38 |
3.7% | -70.7% | 0.28 | 0.05 | 1.8x | 280 | 48% |
| Buy and hold | 8.5% | -78.6% | 0.41 | 0.11 | 3.7x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 57 days