Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Hainan Rubber Industry Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Hainan Rubber Industry Group Co., Ltd. Class A. 6 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 1.7%, MDD -39.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR -5.0%, drawdown -76.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -39.7%, Sharpe 0.19, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 1.7%, MDD -39.7%, 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=36, threshold=27 |
1.7% | -39.7% | 0.19 | 0.04 | 1.3x | 12 | 10% |
| 볼린저 밴드 돌파 n=60, k=3.1 |
1.4% | -39.8% | 0.17 | 0.03 | 1.2x | 20 | 13% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=23, mult=3.7 |
0.7% | -45.3% | 0.12 | 0.02 | 1.1x | 12 | 3% |
| Donchian 채널 돌파 entryN=49, exitN=20 |
-0.7% | -78.5% | 0.10 | -0.01 | 0.9x | 42 | 29% |
| SMA 크로스오버 fast=44, slow=65 |
-3.4% | -73.4% | 0.02 | -0.05 | 0.6x | 68 | 45% |
| MACD fast=10, slow=58, signal=14 |
-4.0% | -83.6% | 0.02 | -0.05 | 0.5x | 213 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-7.8% | -84.2% | -0.12 | -0.09 | 0.3x | 104 | 42% |
| Supertrend period=19, mult=5 |
-8.6% | -85.2% | -0.12 | -0.10 | 0.2x | 42 | 56% |
| EMA 크로스오버 fast=38, slow=66 |
-8.6% | -86.1% | -0.18 | -0.10 | 0.2x | 48 | 42% |
| ROC 모멘텀 n=91, threshold=0.01 |
-9.3% | -88.6% | -0.21 | -0.10 | 0.2x | 150 | 42% |
| Buy and hold | -5.0% | -76.9% | 0.09 | -0.07 | 0.4x | 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, 36-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)