Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Jiemei Electronic & Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Jiemei Electronic & Technology Co., Ltd. Class A. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 21.3%, MDD -33.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.1%, drawdown -59.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 21.3%, MDD -33.8%, Sharpe 0.87, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 21.3%, MDD -33.8%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=19, threshold=24 |
21.3% | -33.8% | 0.87 | 0.63 | 6.1x | 32 | 23% |
| 볼린저 밴드 돌파 n=26, k=3.2 |
13.9% | -25.0% | 0.81 | 0.55 | 3.4x | 10 | 10% |
| MACD fast=17, slow=57, signal=16 |
18.2% | -48.2% | 0.70 | 0.38 | 4.7x | 86 | 48% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=13, mult=2.4 |
12.6% | -31.9% | 0.66 | 0.40 | 3.0x | 28 | 16% |
| SMA 크로스오버 fast=19, slow=26 |
13.6% | -44.7% | 0.56 | 0.30 | 3.3x | 96 | 52% |
| Donchian 채널 돌파 entryN=17, exitN=24 |
12.8% | -52.8% | 0.53 | 0.24 | 3.1x | 48 | 60% |
| Supertrend period=19, mult=4.5 |
11.3% | -59.6% | 0.49 | 0.19 | 2.7x | 28 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
7.4% | -61.7% | 0.39 | 0.12 | 1.9x | 86 | 50% |
| ROC 모멘텀 n=26, threshold=-0.03 |
7.6% | -69.2% | 0.39 | 0.11 | 2.0x | 162 | 60% |
| EMA 크로스오버 fast=18, slow=229 |
3.7% | -62.3% | 0.28 | 0.06 | 1.4x | 29 | 52% |
| Buy and hold | 19.1% | -59.0% | 0.63 | 0.32 | 5.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)