Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Sifang Automation Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Sifang Automation Co., Ltd. Class A. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -60.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.9%, drawdown -78.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.5%, MDD -61.0%, Sharpe 0.49, 15% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 7.4%, MDD -60.3%, exposure 50%).
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=27, threshold=24 |
9.5% | -61.0% | 0.49 | 0.16 | 4.1x | 28 | 15% |
| Supertrend period=14, mult=2.3 |
7.9% | -74.8% | 0.40 | 0.11 | 3.3x | 146 | 50% |
| SMA 크로스오버 fast=49, slow=111 |
7.4% | -60.3% | 0.38 | 0.12 | 3.0x | 43 | 50% |
| Donchian 채널 돌파 entryN=104, exitN=62 |
6.8% | -63.9% | 0.37 | 0.11 | 2.8x | 20 | 39% |
| 볼린저 밴드 돌파 n=34, k=0.7 |
6.3% | -76.5% | 0.36 | 0.08 | 2.6x | 172 | 43% |
| MACD fast=10, slow=59, signal=16 |
4.8% | -66.5% | 0.31 | 0.07 | 2.1x | 214 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=2.8 |
4.8% | -68.5% | 0.31 | 0.07 | 2.1x | 54 | 25% |
| EMA 크로스오버 fast=15, slow=164 |
4.4% | -69.5% | 0.31 | 0.06 | 2.0x | 48 | 46% |
| ROC 모멘텀 n=102, threshold=0.01 |
2.3% | -69.4% | 0.25 | 0.03 | 1.4x | 192 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.1% | -79.0% | 0.20 | 0.01 | 1.2x | 126 | 49% |
| Buy and hold | 5.9% | -78.8% | 0.36 | 0.07 | 2.4x | 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, 27-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)