Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Metallurgical Corporation of China Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Metallurgical Corporation of China 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 Donchian 채널 돌파 (CAGR 6.1%, MDD -40.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.8%, drawdown -78.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.6%, MDD -41.6%, Sharpe 0.56, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.2%, MDD -50.6%, exposure 36%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 6.1%, MDD -40.8%, exposure 6%).
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=37, threshold=29 |
7.6% | -41.6% | 0.56 | 0.18 | 3.5x | 8 | 7% |
| Donchian 채널 돌파 entryN=132, exitN=5 |
6.1% | -40.8% | 0.48 | 0.15 | 2.7x | 28 | 6% |
| SMA 크로스오버 fast=47, slow=175 |
8.2% | -50.6% | 0.45 | 0.16 | 3.8x | 28 | 36% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=1.9 |
5.9% | -42.6% | 0.43 | 0.14 | 2.6x | 72 | 10% |
| EMA 크로스오버 fast=38, slow=148 |
6.6% | -56.5% | 0.39 | 0.12 | 3.0x | 20 | 32% |
| Supertrend period=8, mult=4 |
6.4% | -52.8% | 0.38 | 0.12 | 2.9x | 46 | 46% |
| ROC 모멘텀 n=138, threshold=0.13 |
6.0% | -51.1% | 0.37 | 0.12 | 2.7x | 60 | 19% |
| 볼린저 밴드 돌파 n=45, k=2.9 |
4.1% | -56.3% | 0.31 | 0.07 | 2.0x | 44 | 17% |
| MACD fast=15, slow=22, signal=13 |
0.4% | -76.1% | 0.14 | 0.00 | 1.1x | 228 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.2% | -76.4% | 0.07 | -0.02 | 0.8x | 238 | 42% |
| Buy and hold | -5.8% | -78.2% | -0.01 | -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, 37-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)