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. 0 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 34.8%, MDD -38.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 44.1%, drawdown -71.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 34.8%, MDD -38.2%, Sharpe 1.15, 20% exposure.
CAGR reference leader: Supertrend — CAGR 44.1%, MDD -73.8%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.4%p lower than buy and hold, while drawdown improves by 33.5%p (CAGR 34.8%, 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 |
34.8% | -38.2% | 1.15 | 0.91 | 71.4x | 84 | 20% |
| ADX / DI 방향성 period=17, threshold=45 |
27.6% | -27.9% | 1.13 | 0.99 | 32.6x | 16 | 8% |
| Supertrend period=17, mult=4.2 |
44.1% | -73.8% | 1.06 | 0.60 | 186.4x | 48 | 56% |
| 볼린저 밴드 돌파 n=22, k=1.9 |
33.4% | -46.0% | 0.98 | 0.73 | 61.9x | 124 | 35% |
| Donchian 채널 돌파 entryN=109, exitN=68 |
39.1% | -78.3% | 0.97 | 0.50 | 112.1x | 15 | 56% |
| SMA 크로스오버 fast=35, slow=133 |
39.7% | -63.3% | 0.97 | 0.63 | 119.9x | 29 | 57% |
| EMA 크로스오버 fast=23, slow=79 |
36.7% | -63.3% | 0.92 | 0.58 | 87.7x | 35 | 57% |
| MACD fast=13, slow=42, signal=15 |
32.9% | -64.3% | 0.90 | 0.51 | 58.4x | 172 | 52% |
| Parabolic SAR step=0.025, maxStep=0.08 |
31.3% | -58.5% | 0.87 | 0.54 | 49.4x | 240 | 48% |
| ROC 모멘텀 n=11, threshold=0.12 |
23.3% | -40.1% | 0.86 | 0.58 | 20.0x | 236 | 19% |
| Buy and hold | 44.1% | -71.7% | 0.94 | 0.62 | 186.7x | 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