Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Century Huatong Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Century Huatong Group Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.9%, MDD -27.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.7%, drawdown -80.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 26.9%, MDD -27.0%, Sharpe 1.22, 16% exposure.
CAGR reference leader: Supertrend — CAGR 29.4%, MDD -39.0%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 26.9%, MDD -27.0%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=2.4 |
26.9% | -27.0% | 1.22 | 1.00 | 36.1x | 72 | 16% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=2 |
24.0% | -27.0% | 1.09 | 0.89 | 25.5x | 60 | 14% |
| Donchian 채널 돌파 entryN=45, exitN=5 |
23.9% | -27.3% | 1.08 | 0.88 | 25.3x | 68 | 21% |
| Supertrend period=35, mult=2.6 |
29.4% | -39.0% | 1.03 | 0.76 | 48.7x | 97 | 46% |
| ADX / DI 방향성 period=30, threshold=19 |
23.5% | -56.0% | 0.89 | 0.42 | 23.9x | 48 | 31% |
| ROC 모멘텀 n=11, threshold=0.05 |
19.1% | -47.5% | 0.81 | 0.40 | 13.9x | 320 | 24% |
| SMA 크로스오버 fast=29, slow=132 |
21.3% | -61.9% | 0.77 | 0.34 | 18.4x | 28 | 44% |
| MACD fast=10, slow=43, signal=9 |
19.2% | -63.6% | 0.74 | 0.30 | 14.1x | 215 | 46% |
| EMA 크로스오버 fast=16, slow=115 |
19.2% | -65.7% | 0.70 | 0.29 | 14.1x | 32 | 49% |
| Parabolic SAR step=0.015, maxStep=0.18 |
17.3% | -58.7% | 0.68 | 0.30 | 11.1x | 214 | 45% |
| Buy and hold | 12.7% | -80.3% | 0.50 | 0.16 | 6.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 14-day middle average