Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Soochow Securities Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Soochow Securities Co Ltd Class A. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.8%, MDD -22.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.4%, drawdown -82.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.1%, MDD -40.3%, Sharpe 0.54, 11% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 7.8%, MDD -22.5%, exposure 9%).
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=38, threshold=26 |
8.1% | -40.3% | 0.54 | 0.20 | 3.2x | 16 | 11% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
7.8% | -22.5% | 0.51 | 0.35 | 3.0x | 12 | 9% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=3.8 |
6.5% | -32.5% | 0.42 | 0.20 | 2.5x | 20 | 13% |
| Donchian 채널 돌파 entryN=52, exitN=11 |
6.5% | -36.7% | 0.41 | 0.18 | 2.6x | 34 | 17% |
| Supertrend period=16, mult=2.4 |
7.4% | -50.4% | 0.41 | 0.15 | 2.9x | 111 | 48% |
| MACD fast=17, slow=23, signal=15 |
6.4% | -45.8% | 0.37 | 0.14 | 2.5x | 180 | 50% |
| ROC 모멘텀 n=28, threshold=0.08 |
4.3% | -52.7% | 0.30 | 0.08 | 1.9x | 184 | 22% |
| EMA 크로스오버 fast=7, slow=23 |
3.1% | -54.0% | 0.25 | 0.06 | 1.6x | 156 | 46% |
| Parabolic SAR step=0.015, maxStep=0.06 |
3.0% | -53.3% | 0.25 | 0.06 | 1.5x | 186 | 45% |
| SMA 크로스오버 fast=41, slow=183 |
1.9% | -57.9% | 0.21 | 0.03 | 1.3x | 22 | 41% |
| Buy and hold | 1.4% | -82.7% | 0.24 | 0.02 | 1.2x | 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, 38-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)