Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chongqing Zhifei Biological Products Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chongqing Zhifei Biological Products Co., Ltd. Class A. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.1%, MDD -49.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.0%, drawdown -92.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.7%, MDD -49.6%, Sharpe 0.48, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 9.1%, MDD -49.1%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=177, threshold=0.08 |
10.7% | -49.6% | 0.48 | 0.22 | 5.1x | 118 | 44% |
| ADX / DI 방향성 period=51, threshold=12 |
9.1% | -49.1% | 0.45 | 0.18 | 4.0x | 50 | 31% |
| SMA 크로스오버 fast=41, slow=224 |
9.6% | -67.3% | 0.45 | 0.14 | 4.3x | 20 | 49% |
| Donchian 채널 돌파 entryN=157, exitN=79 |
8.2% | -59.1% | 0.42 | 0.14 | 3.5x | 12 | 36% |
| EMA 크로스오버 fast=35, slow=196 |
8.2% | -71.2% | 0.41 | 0.12 | 3.5x | 20 | 50% |
| 볼린저 밴드 돌파 n=20, k=1.5 |
6.5% | -52.2% | 0.36 | 0.13 | 2.7x | 177 | 38% |
| Supertrend period=8, mult=2.8 |
5.3% | -70.8% | 0.33 | 0.07 | 2.3x | 105 | 52% |
| MACD fast=18, slow=33, signal=13 |
5.2% | -82.4% | 0.32 | 0.06 | 2.2x | 195 | 51% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=1.4 |
4.5% | -71.0% | 0.30 | 0.06 | 2.0x | 87 | 39% |
| Parabolic SAR step=0.01, maxStep=0.12 |
2.2% | -76.0% | 0.24 | 0.03 | 1.4x | 203 | 49% |
| Buy and hold | 5.0% | -92.2% | 0.35 | 0.05 | 2.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 177-day return is greater than 8%
- Sell — Sell when the 177-day return drops to 8% or below