Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Lettall Electronic Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Lettall Electronic Co., Ltd. Class A. 6 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 27.7%, MDD -32.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 28.7%, drawdown -65.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 27.7%, MDD -32.9%, Sharpe 1.07, 10% exposure.
CAGR reference leader: Supertrend — CAGR 42.1%, MDD -55.7%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 33.0%p (CAGR 27.7%, MDD -32.9%, 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=14, threshold=38 |
27.7% | -32.9% | 1.07 | 0.84 | 6.4x | 18 | 10% |
| Supertrend period=25, mult=2.7 |
42.1% | -55.7% | 1.07 | 0.76 | 14.4x | 56 | 44% |
| SMA 크로스오버 fast=25, slow=109 |
38.4% | -49.2% | 0.97 | 0.78 | 11.8x | 13 | 51% |
| Donchian 채널 돌파 entryN=132, exitN=50 |
33.8% | -47.5% | 0.93 | 0.71 | 9.1x | 8 | 40% |
| EMA 크로스오버 fast=48, slow=81 |
33.6% | -49.2% | 0.89 | 0.68 | 9.0x | 15 | 50% |
| ROC 모멘텀 n=141, threshold=0 |
30.1% | -49.2% | 0.82 | 0.61 | 7.4x | 41 | 54% |
| Parabolic SAR step=0.015, maxStep=0.18 |
28.7% | -50.9% | 0.82 | 0.56 | 6.8x | 120 | 49% |
| 볼린저 밴드 돌파 n=53, k=2.1 |
21.1% | -48.7% | 0.70 | 0.43 | 4.3x | 32 | 31% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=14, mult=2.2 |
13.2% | -50.8% | 0.62 | 0.26 | 2.6x | 32 | 9% |
| MACD fast=19, slow=39, signal=9 |
16.1% | -60.2% | 0.58 | 0.27 | 3.1x | 110 | 55% |
| Buy and hold | 28.7% | -65.9% | 0.74 | 0.43 | 6.8x | 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, 14-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)