Trend-Following Backtester · Guide · backtest 한국어
equity · CN
ZTE Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of ZTE Corporation Class A. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.2%, MDD -48.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.1%, drawdown -71.0%).
Sharpe leader (same as main): Supertrend — CAGR 15.0%, MDD -61.6%, Sharpe 0.59, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 9.4%p (CAGR 14.2%, MDD -48.0%, exposure 55%).
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=14, mult=5 |
15.0% | -61.6% | 0.59 | 0.24 | 55.5x | 65 | 60% |
| SMA 크로스오버 fast=47, slow=82 |
14.2% | -48.0% | 0.58 | 0.30 | 45.6x | 83 | 55% |
| Donchian 채널 돌파 entryN=65, exitN=35 |
11.1% | -52.6% | 0.51 | 0.21 | 20.4x | 60 | 47% |
| EMA 크로스오버 fast=52, slow=71 |
11.7% | -55.6% | 0.51 | 0.21 | 24.2x | 60 | 57% |
| ADX / DI 방향성 period=37, threshold=13 |
10.6% | -50.9% | 0.49 | 0.21 | 17.9x | 168 | 44% |
| ROC 모멘텀 n=67, threshold=-0.03 |
8.8% | -60.8% | 0.42 | 0.14 | 11.3x | 302 | 62% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=22, mult=2.4 |
7.5% | -58.6% | 0.40 | 0.13 | 8.1x | 102 | 37% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
5.6% | -57.9% | 0.34 | 0.10 | 4.8x | 126 | 39% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.7% | -66.6% | 0.21 | 0.02 | 1.6x | 364 | 51% |
| MACD fast=16, slow=24, signal=13 |
-0.9% | -74.4% | 0.12 | -0.01 | 0.8x | 436 | 51% |
| Buy and hold | 11.1% | -71.0% | 0.46 | 0.16 | 20.6x | 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) — 14-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)