Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Zhejiang Juhua Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Zhejiang Juhua Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.

Data 1998-06-26 ~ 2026-07-31daily bars 6,960 (28.1 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 10.7%, drawdown -81.3%).

Sharpe leader (same as main): Supertrend — CAGR 12.2%, MDD -75.3%, Sharpe 0.51, 55% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=9, mult=2.9
12.2%-75.3%0.510.1625.6x18255%
SMA 크로스오버
fast=15, slow=218
10.4%-79.0%0.460.1316.3x5954%
볼린저 밴드 돌파
n=42, k=1.1
9.4%-70.3%0.450.1312.6x20041%
EMA 크로스오버
fast=53, slow=106
9.6%-81.1%0.440.1213.3x5154%
MACD
fast=19, slow=35, signal=18
9.3%-67.0%0.440.1412.3x29852%
Parabolic SAR
step=0.005, maxStep=0.22
7.4%-72.8%0.380.107.4x22450%
Keltner 채널 돌파
emaPeriod=41, atrPeriod=14, mult=1.8
6.8%-60.7%0.370.116.3x16633%
Donchian 채널 돌파
entryN=99, exitN=69
6.0%-79.0%0.350.085.2x3747%
ROC 모멘텀
n=101, threshold=0.06
4.9%-82.5%0.310.063.8x30243%
ADX / DI 방향성
period=33, threshold=10
3.1%-79.3%0.260.042.3x28450%
Buy and hold10.7%-81.3%0.460.1317.5x1100%
1x 10x 1999 2003 2007 2011 2015 2019 2023 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -41% -61% -81% 1999 2003 2007 2011 2015 2019 2023 Buy and holdSupertrend
Supertrend maximum drawdown -75.3% (2015-12-31 → 2020-12-24), recovered after 3,714 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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