Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yonghui Superstores Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yonghui Superstores 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 Keltner 채널 돌파 (CAGR 3.3%, MDD -31.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.3%, drawdown -81.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.3%, MDD -36.2%, Sharpe 0.56, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 3.3%, MDD -31.4%, 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=44, threshold=22 |
9.3% | -36.2% | 0.56 | 0.26 | 4.0x | 8 | 16% |
| SMA 크로스오버 fast=63, slow=141 |
8.2% | -51.0% | 0.43 | 0.16 | 3.4x | 22 | 44% |
| 볼린저 밴드 돌파 n=32, k=3.3 |
3.7% | -37.4% | 0.30 | 0.10 | 1.8x | 26 | 11% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=4 |
3.3% | -31.4% | 0.29 | 0.10 | 1.7x | 10 | 6% |
| EMA 크로스오버 fast=13, slow=257 |
4.1% | -51.0% | 0.29 | 0.08 | 1.9x | 26 | 43% |
| Donchian 채널 돌파 entryN=39, exitN=48 |
3.6% | -63.9% | 0.27 | 0.06 | 1.8x | 34 | 51% |
| Supertrend period=27, mult=4.5 |
2.5% | -57.1% | 0.23 | 0.04 | 1.5x | 46 | 46% |
| MACD fast=19, slow=49, signal=14 |
1.6% | -67.8% | 0.20 | 0.02 | 1.3x | 159 | 49% |
| ROC 모멘텀 n=85, threshold=-0.03 |
0.6% | -69.8% | 0.18 | 0.01 | 1.1x | 138 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.5% | -71.8% | 0.05 | -0.04 | 0.7x | 117 | 43% |
| Buy and hold | -1.3% | -81.9% | 0.16 | -0.02 | 0.8x | 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, 44-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)