Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Zhaowei Machinery & Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Zhaowei Machinery & Electronics Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.0%, MDD -22.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.5%, drawdown -68.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 43.7%, MDD -34.8%, Sharpe 1.05, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 37.2%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 24.0%, MDD -22.0%, exposure 10%).
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=14, threshold=20 |
43.7% | -34.8% | 1.05 | 1.26 | 8.3x | 52 | 45% |
| 볼린저 밴드 돌파 n=16, k=2.9 |
24.0% | -22.0% | 0.99 | 1.09 | 3.5x | 12 | 10% |
| Parabolic SAR step=0.015, maxStep=0.08 |
34.3% | -50.0% | 0.91 | 0.69 | 5.6x | 82 | 48% |
| MACD fast=11, slow=50, signal=17 |
25.6% | -42.1% | 0.75 | 0.61 | 3.8x | 65 | 50% |
| SMA 크로스오버 fast=18, slow=64 |
23.7% | -42.0% | 0.70 | 0.56 | 3.4x | 24 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=11, mult=1.2 |
22.1% | -46.4% | 0.69 | 0.48 | 3.2x | 38 | 42% |
| ROC 모멘텀 n=9, threshold=0.07 |
19.4% | -35.4% | 0.69 | 0.55 | 2.8x | 158 | 27% |
| Donchian 채널 돌파 entryN=16, exitN=60 |
23.7% | -55.3% | 0.68 | 0.43 | 3.5x | 16 | 75% |
| EMA 크로스오버 fast=6, slow=33 |
20.2% | -52.1% | 0.64 | 0.39 | 2.9x | 52 | 49% |
| Supertrend period=20, mult=3.4 |
20.1% | -55.9% | 0.63 | 0.36 | 2.9x | 30 | 55% |
| Buy and hold | 6.5% | -68.8% | 0.41 | 0.10 | 1.4x | 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, 14-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)