Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Zhen Ding Technology Holding Limited backtest
10 trend-following strategies were compared on the full daily history of Zhen Ding Technology Holding Limited. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -54.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.6%, MDD -38.6%, Sharpe 0.57, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -69.1%, exposure 84%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, atrPeriod=17, mult=2.3 |
9.6% | -38.6% | 0.57 | 0.25 | 3.8x | 62 | 18% |
| ADX / DI 방향성 period=21, threshold=29 |
7.1% | -28.4% | 0.52 | 0.25 | 2.7x | 22 | 9% |
| MACD fast=11, slow=52, signal=18 |
9.6% | -66.4% | 0.49 | 0.14 | 3.8x | 170 | 50% |
| Supertrend period=8, mult=3.9 |
9.4% | -59.9% | 0.47 | 0.16 | 3.7x | 66 | 50% |
| Donchian 채널 돌파 entryN=9, exitN=68 |
10.0% | -69.1% | 0.46 | 0.14 | 4.0x | 47 | 84% |
| 볼린저 밴드 돌파 n=21, k=1.5 |
8.2% | -52.5% | 0.45 | 0.16 | 3.2x | 156 | 37% |
| Parabolic SAR step=0.01, maxStep=0.08 |
8.7% | -53.4% | 0.45 | 0.16 | 3.4x | 168 | 51% |
| EMA 크로스오버 fast=104, slow=249 |
7.0% | -56.2% | 0.38 | 0.13 | 2.7x | 15 | 54% |
| SMA 크로스오버 fast=40, slow=151 |
6.6% | -49.5% | 0.37 | 0.13 | 2.6x | 37 | 52% |
| ROC 모멘텀 n=16, threshold=0.09 |
5.5% | -64.7% | 0.37 | 0.08 | 2.2x | 190 | 16% |
| Buy and hold | 16.3% | -54.4% | 0.60 | 0.30 | 9.1x | 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 18-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average