Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Communications Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Communications 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 ADX / DI 방향성 (CAGR 3.8%, MDD -25.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.8%, drawdown -76.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.8%, MDD -25.7%, Sharpe 0.37, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -46.3%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 3.8%, MDD -25.7%, 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=39, threshold=23 |
3.8% | -25.7% | 0.37 | 0.15 | 2.0x | 16 | 10% |
| SMA 크로스오버 fast=40, slow=136 |
3.8% | -46.3% | 0.30 | 0.08 | 2.0x | 39 | 45% |
| EMA 크로스오버 fast=68, slow=97 |
2.8% | -46.3% | 0.25 | 0.06 | 1.7x | 26 | 44% |
| Donchian 채널 돌파 entryN=71, exitN=84 |
2.7% | -45.8% | 0.24 | 0.06 | 1.7x | 27 | 47% |
| Supertrend period=29, mult=5 |
1.8% | -55.0% | 0.19 | 0.03 | 1.4x | 51 | 42% |
| ROC 모멘텀 n=144, threshold=0.25 |
1.4% | -34.0% | 0.18 | 0.04 | 1.3x | 24 | 8% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
0.6% | -44.0% | 0.11 | 0.01 | 1.1x | 48 | 19% |
| MACD fast=23, slow=33, signal=16 |
-1.7% | -58.3% | 0.01 | -0.03 | 0.7x | 185 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=26, mult=3.4 |
-0.7% | -40.0% | -0.02 | -0.02 | 0.9x | 36 | 7% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.1% | -64.8% | -0.07 | -0.05 | 0.5x | 141 | 46% |
| Buy and hold | -2.8% | -76.2% | 0.03 | -0.04 | 0.6x | 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, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)