Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Three Gorges Renewables (Group) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Three Gorges Renewables (Group) Co., Ltd. Class A. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 0.7%, MDD -13.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.6%, drawdown -53.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -13.9%, Sharpe 0.32, 5% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 0.7%, MDD -13.8%, exposure 5%).
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=23, threshold=30 |
3.3% | -13.9% | 0.32 | 0.24 | 1.2x | 2 | 5% |
| EMA 크로스오버 fast=57, slow=212 |
0.7% | -13.8% | 0.14 | 0.05 | 1.0x | 4 | 5% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-2.3% | -54.8% | -0.01 | -0.04 | 0.9x | 78 | 44% |
| Supertrend period=29, mult=3.5 |
-2.1% | -27.7% | -0.02 | -0.07 | 0.9x | 18 | 33% |
| ROC 모멘텀 n=82, threshold=0.13 |
-1.5% | -14.8% | -0.15 | -0.10 | 0.9x | 12 | 3% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-2.6% | -18.1% | -0.22 | -0.14 | 0.9x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=4 |
-2.9% | -19.5% | -0.26 | -0.15 | 0.9x | 4 | 4% |
| SMA 크로스오버 fast=9, slow=44 |
-5.6% | -40.3% | -0.29 | -0.14 | 0.7x | 36 | 33% |
| Donchian 채널 돌파 entryN=10, exitN=43 |
-7.7% | -49.5% | -0.31 | -0.16 | 0.7x | 27 | 64% |
| MACD fast=17, slow=51, signal=9 |
-7.9% | -43.0% | -0.39 | -0.18 | 0.7x | 67 | 47% |
| Buy and hold | -0.6% | -53.9% | 0.12 | -0.01 | 1.0x | 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, 23-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)