Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhongji Innolight Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhongji Innolight Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 34.5%, MDD -38.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 43.3%, drawdown -71.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 34.5%, MDD -38.2%, Sharpe 1.15, 20% exposure.
CAGR reference leader: Supertrend — CAGR 43.8%, MDD -73.8%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.7%p lower than buy and hold, while drawdown improves by 33.5%p (CAGR 34.5%, MDD -38.2%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=24, mult=1.9 |
34.5% | -38.2% | 1.15 | 0.90 | 71.4x | 84 | 20% |
| ADX / DI 방향성 period=17, threshold=45 |
27.4% | -27.9% | 1.13 | 0.98 | 32.6x | 16 | 8% |
| Supertrend period=17, mult=4.2 |
43.8% | -73.8% | 1.06 | 0.59 | 186.4x | 48 | 56% |
| 볼린저 밴드 돌파 n=22, k=1.9 |
33.2% | -46.0% | 0.97 | 0.72 | 61.9x | 124 | 35% |
| Donchian 채널 돌파 entryN=109, exitN=68 |
38.3% | -78.3% | 0.95 | 0.49 | 105.8x | 15 | 56% |
| SMA 크로스오버 fast=35, slow=133 |
38.9% | -63.3% | 0.95 | 0.61 | 113.3x | 29 | 57% |
| EMA 크로스오버 fast=23, slow=79 |
36.3% | -63.3% | 0.91 | 0.57 | 85.8x | 36 | 57% |
| MACD fast=13, slow=42, signal=15 |
32.7% | -64.3% | 0.90 | 0.51 | 58.4x | 172 | 52% |
| ROC 모멘텀 n=11, threshold=0.12 |
23.1% | -40.1% | 0.86 | 0.58 | 20.0x | 236 | 19% |
| Parabolic SAR step=0.025, maxStep=0.08 |
29.6% | -58.5% | 0.83 | 0.51 | 41.6x | 242 | 49% |
| Buy and hold | 43.3% | -71.7% | 0.93 | 0.60 | 176.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average