Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CSC Financial Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of CSC Financial Co., Ltd. Class A. 8 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 11.2%, MDD -35.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.4%, drawdown -69.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.3%, MDD -36.8%, Sharpe 0.69, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 11.2%, MDD -35.4%, 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=14, threshold=29 |
16.3% | -36.8% | 0.69 | 0.44 | 3.5x | 36 | 21% |
| Supertrend period=26, mult=2.8 |
14.0% | -59.1% | 0.57 | 0.24 | 2.9x | 52 | 35% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=2.3 |
11.2% | -35.4% | 0.57 | 0.32 | 2.4x | 34 | 10% |
| 볼린저 밴드 돌파 n=38, k=2.4 |
12.6% | -47.0% | 0.56 | 0.27 | 2.7x | 32 | 23% |
| Donchian 채널 돌파 entryN=79, exitN=34 |
13.3% | -38.5% | 0.56 | 0.34 | 2.8x | 14 | 29% |
| SMA 크로스오버 fast=64, slow=127 |
13.1% | -46.5% | 0.55 | 0.28 | 2.8x | 17 | 44% |
| ROC 모멘텀 n=65, threshold=0.01 |
13.0% | -42.9% | 0.53 | 0.30 | 2.7x | 78 | 41% |
| MACD fast=17, slow=49, signal=23 |
11.7% | -59.0% | 0.50 | 0.20 | 2.5x | 70 | 45% |
| EMA 크로스오버 fast=14, slow=91 |
7.8% | -66.1% | 0.39 | 0.12 | 1.9x | 30 | 45% |
| Parabolic SAR step=0.015, maxStep=0.1 |
6.6% | -59.8% | 0.36 | 0.11 | 1.7x | 122 | 46% |
| Buy and hold | 8.4% | -69.6% | 0.41 | 0.12 | 1.9x | 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, 14-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)