Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Huayou Cobalt Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Huayou Cobalt Co., Ltd. Class A. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 27.7%, MDD -41.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 25.5%, drawdown -81.6%).
Sharpe leader (same as main): Supertrend — CAGR 53.6%, MDD -47.5%, Sharpe 1.18, 59% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.1%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 27.7%, MDD -41.1%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=1, mult=2.9 |
53.6% | -47.5% | 1.18 | 1.13 | 139.2x | 106 | 59% |
| ROC 모멘텀 n=21, threshold=0.07 |
33.9% | -47.7% | 0.98 | 0.71 | 28.8x | 178 | 38% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
34.7% | -49.4% | 0.97 | 0.70 | 30.8x | 60 | 41% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=14, mult=1.6 |
27.7% | -41.1% | 0.88 | 0.67 | 16.6x | 80 | 34% |
| Parabolic SAR step=0.015, maxStep=0.2 |
29.1% | -65.1% | 0.84 | 0.45 | 18.8x | 189 | 49% |
| ADX / DI 방향성 period=19, threshold=4 |
27.3% | -76.0% | 0.79 | 0.36 | 16.1x | 174 | 54% |
| Donchian 채널 돌파 entryN=21, exitN=17 |
26.3% | -54.5% | 0.79 | 0.48 | 14.6x | 60 | 47% |
| MACD fast=10, slow=38, signal=11 |
24.4% | -63.1% | 0.75 | 0.39 | 12.3x | 177 | 52% |
| SMA 크로스오버 fast=43, slow=183 |
24.4% | -57.9% | 0.73 | 0.42 | 12.3x | 14 | 56% |
| EMA 크로스오버 fast=11, slow=25 |
22.0% | -67.8% | 0.69 | 0.32 | 9.9x | 92 | 51% |
| Buy and hold | 25.5% | -81.6% | 0.69 | 0.31 | 13.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 1-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)