Trend-Following Backtester · Guide · backtest 한국어
equity · HK
ZTO Express (Cayman), Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of ZTO Express (Cayman), Inc. Class A. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.3%, MDD -9.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.2%, drawdown -57.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.2%, MDD -15.5%, Sharpe 0.43, 10% exposure.
CAGR reference leader: Parabolic SAR — CAGR 6.8%, MDD -39.7%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 0.3%, MDD -9.4%, exposure 1%).
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=31, threshold=19 |
4.2% | -15.5% | 0.43 | 0.27 | 1.3x | 4 | 10% |
| Parabolic SAR step=0.01, maxStep=0.38 |
6.8% | -39.7% | 0.38 | 0.17 | 1.5x | 68 | 51% |
| 볼린저 밴드 돌파 n=14, k=2.4 |
4.3% | -19.6% | 0.35 | 0.22 | 1.3x | 32 | 16% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=3.8 |
0.3% | -9.4% | 0.07 | 0.03 | 1.0x | 2 | 1% |
| MACD fast=11, slow=16, signal=14 |
-1.6% | -47.6% | 0.07 | -0.03 | 0.9x | 106 | 49% |
| Supertrend period=21, mult=2.4 |
-3.2% | -56.7% | 0.01 | -0.06 | 0.8x | 53 | 50% |
| Donchian 채널 돌파 entryN=19, exitN=6 |
-2.2% | -42.1% | -0.01 | -0.05 | 0.9x | 41 | 27% |
| SMA 크로스오버 fast=58, slow=130 |
-2.6% | -53.7% | -0.03 | -0.05 | 0.9x | 16 | 40% |
| ROC 모멘텀 n=141, threshold=0.12 |
-3.2% | -25.7% | -0.17 | -0.12 | 0.8x | 37 | 18% |
| EMA 크로스오버 fast=7, slow=23 |
-7.5% | -63.2% | -0.19 | -0.12 | 0.6x | 69 | 48% |
| Buy and hold | -4.2% | -57.6% | 0.09 | -0.07 | 0.8x | 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, 31-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)