Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Zhaojin Mining Industry Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of Zhaojin Mining Industry Co., Ltd. Class H. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -54.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.3%, drawdown -89.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.2%, MDD -57.2%, Sharpe 0.54, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 11.3%, MDD -54.8%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=12 |
13.2% | -57.2% | 0.54 | 0.23 | 11.4x | 134 | 41% |
| Donchian 채널 돌파 entryN=24, exitN=37 |
13.1% | -59.7% | 0.52 | 0.22 | 11.3x | 70 | 60% |
| ROC 모멘텀 n=103, threshold=0.1 |
11.4% | -55.9% | 0.50 | 0.20 | 8.4x | 152 | 38% |
| 볼린저 밴드 돌파 n=42, k=1.1 |
11.3% | -54.8% | 0.49 | 0.21 | 8.2x | 135 | 40% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=0.9 |
11.3% | -59.8% | 0.49 | 0.19 | 8.1x | 158 | 43% |
| MACD fast=9, slow=57, signal=9 |
11.1% | -60.7% | 0.48 | 0.18 | 8.0x | 329 | 48% |
| SMA 크로스오버 fast=57, slow=147 |
10.0% | -68.0% | 0.45 | 0.15 | 6.5x | 38 | 50% |
| Supertrend period=11, mult=2 |
8.1% | -78.9% | 0.40 | 0.10 | 4.6x | 245 | 46% |
| EMA 크로스오버 fast=24, slow=28 |
7.9% | -72.0% | 0.39 | 0.11 | 4.4x | 102 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.9% | -79.5% | 0.34 | 0.07 | 3.1x | 339 | 47% |
| Buy and hold | 9.3% | -89.4% | 0.43 | 0.10 | 5.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)