Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.1%, MDD -43.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 17.1%, drawdown -74.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.7%, MDD -52.9%, Sharpe 0.87, 71% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 20.1%, MDD -43.8%, exposure 43%).
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=94, threshold=-0.09 |
31.7% | -52.9% | 0.87 | 0.60 | 50.1x | 62 | 71% |
| SMA 크로스오버 fast=57, slow=215 |
24.3% | -55.4% | 0.75 | 0.44 | 22.0x | 11 | 64% |
| Supertrend period=21, mult=2.5 |
21.1% | -58.5% | 0.71 | 0.36 | 15.1x | 106 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=1.5 |
20.1% | -43.8% | 0.69 | 0.46 | 13.5x | 76 | 43% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
17.9% | -46.6% | 0.64 | 0.39 | 10.4x | 64 | 43% |
| EMA 크로스오버 fast=106, slow=120 |
16.9% | -65.9% | 0.60 | 0.26 | 9.2x | 17 | 61% |
| Donchian 채널 돌파 entryN=47, exitN=27 |
15.9% | -44.8% | 0.60 | 0.36 | 8.2x | 42 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
15.6% | -61.7% | 0.58 | 0.25 | 7.9x | 112 | 50% |
| MACD fast=18, slow=42, signal=15 |
13.7% | -72.3% | 0.53 | 0.19 | 6.2x | 154 | 50% |
| ADX / DI 방향성 period=22, threshold=19 |
12.0% | -50.1% | 0.51 | 0.24 | 5.0x | 98 | 33% |
| Buy and hold | 17.1% | -74.5% | 0.57 | 0.23 | 9.4x | 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 94-day return is greater than -9%
- Sell — Sell when the 94-day return drops to -9% or below