Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chongqing Zhifei Biological Products Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chongqing Zhifei Biological Products Co., Ltd. Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -46.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.7%, drawdown -92.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.8%, MDD -49.6%, Sharpe 0.48, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 8.0%, MDD -46.9%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=177, threshold=0.08 |
10.8% | -49.6% | 0.48 | 0.22 | 5.1x | 118 | 44% |
| ADX / DI 방향성 period=51, threshold=12 |
9.1% | -49.1% | 0.46 | 0.19 | 4.0x | 50 | 31% |
| SMA 크로스오버 fast=41, slow=224 |
9.7% | -67.3% | 0.45 | 0.14 | 4.3x | 20 | 50% |
| Donchian 채널 돌파 entryN=157, exitN=79 |
8.3% | -59.1% | 0.42 | 0.14 | 3.5x | 12 | 37% |
| 볼린저 밴드 돌파 n=20, k=1.5 |
8.0% | -46.9% | 0.41 | 0.17 | 3.4x | 172 | 38% |
| EMA 크로스오버 fast=35, slow=196 |
8.3% | -71.2% | 0.41 | 0.12 | 3.5x | 20 | 50% |
| Supertrend period=8, mult=2.8 |
6.3% | -66.6% | 0.35 | 0.09 | 2.6x | 103 | 52% |
| MACD fast=18, slow=33, signal=13 |
6.2% | -81.1% | 0.35 | 0.08 | 2.6x | 193 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=1.4 |
6.0% | -66.2% | 0.35 | 0.09 | 2.5x | 84 | 40% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.2% | -72.5% | 0.26 | 0.04 | 1.6x | 201 | 49% |
| Buy and hold | 4.7% | -92.2% | 0.34 | 0.05 | 2.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 177-day return is greater than 8%
- Sell — Sell when the 177-day return drops to 8% or below