Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Zhejiang Century Huatong Group Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Zhejiang Century Huatong Group Co., Ltd. Class A. 10 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 27.1%, MDD -27.0%).

Data 2011-08-10 ~ 2026-07-31daily bars 3,634 (15.0 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 12.5%, drawdown -80.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 27.1%, MDD -27.0%, Sharpe 1.22, 16% exposure.

CAGR reference leader: Supertrend — CAGR 29.8%, MDD -39.0%, exposure 46%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 27.1%, MDD -27.0%, exposure 16%).

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
볼린저 밴드 돌파
n=14, k=2.4
27.1%-27.0%1.221.0036.1x7216%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=20, mult=2
24.2%-27.0%1.090.9025.5x6014%
Donchian 채널 돌파
entryN=45, exitN=5
24.1%-27.3%1.080.8825.3x6821%
Supertrend
period=35, mult=2.6
29.8%-39.0%1.040.7649.5x9646%
ADX / DI 방향성
period=30, threshold=19
23.6%-56.0%0.900.4223.9x4831%
ROC 모멘텀
n=11, threshold=0.05
19.6%-47.5%0.830.4114.6x31424%
SMA 크로스오버
fast=29, slow=132
21.5%-61.9%0.770.3518.4x2845%
MACD
fast=10, slow=43, signal=9
19.0%-63.6%0.730.3013.5x21546%
EMA 크로스오버
fast=16, slow=115
19.4%-65.7%0.710.2914.1x3250%
Parabolic SAR
step=0.015, maxStep=0.18
17.3%-58.7%0.680.2910.9x21345%
Buy and hold12.5%-80.3%0.500.165.8x1100%
1x 10x 2012 2014 2016 2018 2020 2022 2024 2026 Supertrend볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -20% -40% -60% -80% 2012 2014 2016 2018 2020 2022 2024 2026 Buy and holdSupertrend볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -27.0% (2015-12-29 → 2016-08-17), recovered after 324 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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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