Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningbo Zhoushan Port Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ningbo Zhoushan Port 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 Keltner 채널 돌파 (CAGR 5.4%, MDD -31.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.2%, drawdown -76.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.3%, MDD -37.9%, Sharpe 0.44, 4% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 5.4%, MDD -31.0%, exposure 10%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 5.4%, MDD -31.0%, exposure 10%).
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=32, threshold=34 |
5.3% | -37.9% | 0.44 | 0.14 | 2.3x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=11, mult=3.5 |
5.4% | -31.0% | 0.41 | 0.17 | 2.3x | 22 | 10% |
| SMA 크로스오버 fast=59, slow=105 |
4.7% | -56.5% | 0.32 | 0.08 | 2.1x | 42 | 45% |
| ROC 모멘텀 n=85, threshold=0.14 |
3.4% | -57.2% | 0.28 | 0.06 | 1.7x | 42 | 10% |
| Donchian 채널 돌파 entryN=14, exitN=82 |
2.8% | -69.1% | 0.24 | 0.04 | 1.5x | 39 | 81% |
| 볼린저 밴드 돌파 n=44, k=2.8 |
1.6% | -63.9% | 0.18 | 0.03 | 1.3x | 48 | 18% |
| EMA 크로스오버 fast=53, slow=82 |
1.4% | -72.0% | 0.18 | 0.02 | 1.3x | 40 | 40% |
| Supertrend period=26, mult=5 |
1.2% | -68.7% | 0.17 | 0.02 | 1.2x | 40 | 43% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-0.1% | -72.7% | 0.11 | -0.00 | 1.0x | 219 | 46% |
| MACD fast=14, slow=54, signal=9 |
-3.2% | -74.9% | -0.04 | -0.04 | 0.6x | 229 | 52% |
| Buy and hold | -0.2% | -76.0% | 0.14 | -0.00 | 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, 32-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)