Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Zai Lab Ltd. backtest
10 trend-following strategies were compared on the full daily history of Zai Lab Ltd.. 9 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 9.1%, MDD -20.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -17.4%, drawdown -92.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.1%, MDD -20.5%, Sharpe 0.96, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.4%p higher than buy and hold, while drawdown improves by 72.5%p (CAGR 9.1%, MDD -20.5%, exposure 3%).
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=18, threshold=40 |
9.1% | -20.5% | 0.96 | 0.44 | 1.7x | 2 | 3% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
8.2% | -30.9% | 0.55 | 0.26 | 1.6x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=3 |
5.9% | -28.9% | 0.44 | 0.20 | 1.4x | 9 | 8% |
| Donchian 채널 돌파 entryN=26, exitN=72 |
2.9% | -69.2% | 0.32 | 0.04 | 1.2x | 13 | 60% |
| EMA 크로스오버 fast=54, slow=107 |
2.6% | -47.0% | 0.26 | 0.06 | 1.2x | 7 | 28% |
| Supertrend period=21, mult=1.4 |
-1.6% | -74.6% | 0.20 | -0.02 | 0.9x | 121 | 43% |
| SMA 크로스오버 fast=40, slow=207 |
0.5% | -35.1% | 0.18 | 0.01 | 1.0x | 7 | 23% |
| ROC 모멘텀 n=41, threshold=0.04 |
-4.0% | -68.6% | 0.10 | -0.06 | 0.8x | 79 | 37% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-9.0% | -78.5% | 0.03 | -0.11 | 0.6x | 115 | 48% |
| MACD fast=11, slow=43, signal=13 |
-20.3% | -92.8% | -0.22 | -0.22 | 0.3x | 89 | 49% |
| Buy and hold | -17.4% | -92.9% | 0.09 | -0.19 | 0.3x | 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, 18-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)