Trend-Following Backtester · Guide · backtest 한국어

equity · CN

China Pacific Insurance (Group) Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of China Pacific Insurance (Group) 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 ADX / DI 방향성 (CAGR 1.8%, MDD -15.7%).

Data 2007-12-25 ~ 2026-07-31daily bars 4,518 (18.6 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -2.1%, drawdown -79.2%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -15.7%, Sharpe 0.29, 1% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 3.0%, MDD -64.3%, exposure 65%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 63.5%p (CAGR 1.8%, MDD -15.7%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=27, threshold=37
1.8%-15.7%0.290.111.4x41%
Donchian 채널 돌파
entryN=45, exitN=79
3.0%-64.3%0.250.051.7x2865%
SMA 크로스오버
fast=68, slow=105
2.8%-57.1%0.240.051.7x4651%
볼린저 밴드 돌파
n=31, k=2.8
1.1%-41.2%0.150.031.2x4413%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=18, mult=2.3
0.8%-59.4%0.140.011.2x7230%
EMA 크로스오버
fast=39, slow=116
-0.6%-67.8%0.10-0.010.9x3849%
Supertrend
period=15, mult=4.6
-0.8%-70.4%0.10-0.010.9x5849%
ROC 모멘텀
n=111, threshold=0.13
-0.3%-58.7%0.09-0.000.9x15027%
MACD
fast=15, slow=58, signal=18
-5.7%-79.3%-0.10-0.070.3x21349%
Parabolic SAR
step=0.01, maxStep=0.2
-8.9%-83.8%-0.24-0.110.2x25348%
Buy and hold-2.1%-79.2%0.13-0.030.7x1100%
1x 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -20% -40% -59% -79% 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -15.7% (2015-01-26 → 2015-02-06), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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