Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Cofco Sugar Holding Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Cofco Sugar Holding Co., Ltd. Class A. 4 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 7.1%, MDD -36.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.4%, drawdown -90.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.1%, MDD -36.8%, Sharpe 0.54, 9% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.3%, MDD -69.4%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 53.4%p (CAGR 7.1%, MDD -36.8%, exposure 9%).
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=29, threshold=30 |
7.1% | -36.8% | 0.54 | 0.19 | 7.8x | 22 | 9% |
| EMA 크로스오버 fast=38, slow=219 |
13.3% | -69.4% | 0.54 | 0.19 | 43.2x | 32 | 54% |
| SMA 크로스오버 fast=55, slow=196 |
12.8% | -69.7% | 0.53 | 0.18 | 37.2x | 40 | 56% |
| Donchian 채널 돌파 entryN=39, exitN=106 |
12.3% | -81.3% | 0.50 | 0.15 | 32.7x | 47 | 72% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=4 |
7.5% | -56.4% | 0.44 | 0.13 | 8.7x | 52 | 21% |
| Supertrend period=17, mult=4.7 |
9.3% | -79.3% | 0.44 | 0.12 | 14.6x | 83 | 59% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
6.1% | -56.5% | 0.43 | 0.11 | 6.0x | 32 | 15% |
| ROC 모멘텀 n=78, threshold=-0.03 |
8.1% | -93.9% | 0.40 | 0.09 | 10.3x | 339 | 61% |
| Parabolic SAR step=0.02, maxStep=0.06 |
5.5% | -85.6% | 0.33 | 0.06 | 5.0x | 429 | 51% |
| MACD fast=11, slow=47, signal=9 |
2.1% | -74.3% | 0.22 | 0.03 | 1.9x | 503 | 51% |
| Buy and hold | 8.4% | -90.2% | 0.40 | 0.09 | 11.2x | 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, 29-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)