Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Zhangjiang Hi-Tech Park Development Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Zhangjiang Hi-Tech Park Development Co., Ltd. Class A. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.6%, MDD -40.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.0%, drawdown -79.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.6%, MDD -40.9%, Sharpe 0.58, 12% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 11.0%, MDD -53.8%, exposure 15%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 10.6%, MDD -40.9%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.1 |
10.6% | -40.9% | 0.58 | 0.26 | 21.5x | 66 | 12% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=3.2 |
11.0% | -53.8% | 0.56 | 0.20 | 23.9x | 64 | 15% |
| ADX / DI 방향성 period=17, threshold=26 |
10.1% | -50.8% | 0.48 | 0.20 | 18.5x | 162 | 24% |
| Donchian 채널 돌파 entryN=55, exitN=10 |
9.3% | -58.8% | 0.47 | 0.16 | 14.9x | 108 | 21% |
| Supertrend period=26, mult=4.9 |
10.2% | -62.3% | 0.46 | 0.16 | 19.2x | 86 | 43% |
| EMA 크로스오버 fast=18, slow=83 |
8.1% | -71.4% | 0.40 | 0.11 | 10.6x | 112 | 44% |
| SMA 크로스오버 fast=16, slow=122 |
8.0% | -70.6% | 0.40 | 0.11 | 10.3x | 84 | 45% |
| ROC 모멘텀 n=25, threshold=0.11 |
6.0% | -47.0% | 0.35 | 0.13 | 5.9x | 357 | 20% |
| MACD fast=19, slow=53, signal=18 |
6.0% | -83.9% | 0.34 | 0.07 | 5.8x | 313 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.4% | -81.6% | 0.24 | 0.03 | 2.0x | 486 | 47% |
| Buy and hold | 10.0% | -79.6% | 0.44 | 0.13 | 18.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 25-day middle average