Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Inner Mongolia Baotou Steel Union Co. Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Inner Mongolia Baotou Steel Union Co. Ltd. Class A. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.8%, MDD -36.2%).

Data 2001-03-09 ~ 2026-07-31daily bars 6,255 (25.4 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 3.2%, drawdown -79.8%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.2%, MDD -38.8%, Sharpe 0.65, 20% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 11.8%, MDD -36.2%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=25, threshold=25
13.2%-38.8%0.650.3423.4x7420%
Donchian 채널 돌파
entryN=54, exitN=12
11.8%-36.2%0.590.3316.9x7820%
볼린저 밴드 돌파
n=48, k=3.5
9.9%-39.5%0.550.2511.1x4215%
Keltner 채널 돌파
emaPeriod=18, atrPeriod=25, mult=1.9
10.2%-45.8%0.530.2211.7x13619%
Supertrend
period=21, mult=3.8
11.2%-55.0%0.520.2014.9x9841%
SMA 크로스오버
fast=7, slow=49
11.6%-48.5%0.520.2416.1x16643%
EMA 크로스오버
fast=10, slow=35
9.7%-60.5%0.460.1610.6x17043%
Parabolic SAR
step=0.015, maxStep=0.36
6.6%-66.8%0.370.105.0x36946%
ROC 모멘텀
n=58, threshold=0.08
5.4%-60.8%0.330.093.8x22428%
MACD
fast=18, slow=41, signal=19
2.8%-77.9%0.240.042.0x26349%
Buy and hold3.2%-79.8%0.280.042.3x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2002 2006 2010 2014 2018 2022 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -38.8% (2009-08-04 → 2011-03-07), recovered after 603 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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