Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Poly Developments & Holdings Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Poly Developments & Holdings Group Co., Ltd. Class A. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.7%, MDD -33.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.3%, drawdown -76.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.7%, MDD -33.2%, Sharpe 0.58, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.8%, MDD -55.8%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 43.6%p (CAGR 8.7%, MDD -33.2%, exposure 7%).
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=29 |
8.7% | -33.2% | 0.58 | 0.26 | 5.3x | 12 | 7% |
| SMA 크로스오버 fast=53, slow=128 |
12.8% | -55.8% | 0.55 | 0.23 | 11.1x | 40 | 48% |
| Donchian 채널 돌파 entryN=59, exitN=72 |
8.7% | -69.1% | 0.43 | 0.13 | 5.3x | 28 | 56% |
| Supertrend period=11, mult=4.6 |
7.2% | -77.5% | 0.38 | 0.09 | 4.0x | 54 | 62% |
| ROC 모멘텀 n=133, threshold=0.01 |
5.9% | -75.0% | 0.35 | 0.08 | 3.2x | 174 | 49% |
| EMA 크로스오버 fast=35, slow=56 |
5.1% | -76.9% | 0.32 | 0.07 | 2.7x | 66 | 47% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=27, mult=3.1 |
4.4% | -55.7% | 0.32 | 0.08 | 2.4x | 48 | 15% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.0% | -81.6% | 0.25 | 0.04 | 1.8x | 171 | 49% |
| 볼린저 밴드 돌파 n=45, k=1.6 |
2.6% | -73.9% | 0.23 | 0.03 | 1.7x | 112 | 33% |
| MACD fast=21, slow=54, signal=18 |
-0.1% | -83.0% | 0.16 | -0.00 | 1.0x | 195 | 51% |
| Buy and hold | 7.3% | -76.8% | 0.39 | 0.10 | 4.1x | 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 ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)