Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang NHU Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang NHU Co. Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.3%, MDD -53.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.4%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.3%, MDD -61.9%, Sharpe 0.69, 63% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 8.0%p (CAGR 13.3%, MDD -53.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=131 |
19.3% | -61.9% | 0.69 | 0.31 | 49.5x | 36 | 63% |
| ROC 모멘텀 n=111, threshold=0.01 |
17.5% | -63.0% | 0.65 | 0.28 | 35.0x | 133 | 61% |
| Donchian 채널 돌파 entryN=118, exitN=78 |
16.0% | -64.6% | 0.62 | 0.25 | 26.4x | 24 | 58% |
| EMA 크로스오버 fast=11, slow=170 |
15.2% | -56.6% | 0.59 | 0.27 | 23.0x | 53 | 62% |
| Keltner 채널 돌파 emaPeriod=133, atrPeriod=10, mult=1 |
13.3% | -53.9% | 0.55 | 0.25 | 15.7x | 102 | 55% |
| Supertrend period=15, mult=4.9 |
12.1% | -50.0% | 0.51 | 0.24 | 12.6x | 58 | 64% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
8.2% | -73.7% | 0.42 | 0.11 | 5.7x | 174 | 44% |
| ADX / DI 방향성 period=35, threshold=9 |
7.0% | -64.0% | 0.38 | 0.11 | 4.5x | 237 | 57% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.8% | -65.4% | 0.31 | 0.07 | 2.8x | 177 | 49% |
| MACD fast=17, slow=56, signal=19 |
4.7% | -69.2% | 0.31 | 0.07 | 2.7x | 223 | 51% |
| Buy and hold | 17.4% | -69.8% | 0.60 | 0.25 | 34.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 53-day average falls below the 131-day average