Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.0%, MDD -43.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.9%, drawdown -74.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.5%, MDD -52.9%, Sharpe 0.86, 71% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 20.0%, MDD -43.8%, exposure 43%).
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=94, threshold=-0.09 |
31.5% | -52.9% | 0.86 | 0.60 | 50.3x | 65 | 71% |
| SMA 크로스오버 fast=57, slow=215 |
25.1% | -55.4% | 0.77 | 0.45 | 24.6x | 11 | 64% |
| Supertrend period=21, mult=2.5 |
20.3% | -58.5% | 0.70 | 0.35 | 14.1x | 107 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=1.5 |
20.0% | -43.8% | 0.69 | 0.46 | 13.5x | 76 | 43% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
17.8% | -46.6% | 0.64 | 0.38 | 10.4x | 64 | 43% |
| EMA 크로스오버 fast=106, slow=120 |
17.7% | -65.9% | 0.62 | 0.27 | 10.3x | 17 | 62% |
| Donchian 채널 돌파 entryN=47, exitN=27 |
15.8% | -44.8% | 0.60 | 0.35 | 8.2x | 42 | 41% |
| Parabolic SAR step=0.005, maxStep=0.36 |
15.1% | -61.7% | 0.57 | 0.24 | 7.5x | 113 | 50% |
| MACD fast=18, slow=42, signal=15 |
13.8% | -72.3% | 0.54 | 0.19 | 6.4x | 155 | 50% |
| ADX / DI 방향성 period=22, threshold=19 |
11.9% | -50.1% | 0.51 | 0.24 | 5.0x | 98 | 33% |
| Buy and hold | 17.9% | -74.5% | 0.59 | 0.24 | 10.6x | 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 94-day return is greater than -9%
- Sell — Sell when the 94-day return drops to -9% or below