Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningbo Deye Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ningbo Deye Technology Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 63.3%, MDD -31.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 60.0%, drawdown -77.9%).
Sharpe leader (same as main): Supertrend — CAGR 67.9%, MDD -38.5%, Sharpe 1.34, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 63.3%, MDD -31.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=3.1 |
67.9% | -38.5% | 1.34 | 1.76 | 15.4x | 22 | 56% |
| ADX / DI 방향성 period=26, threshold=13 |
63.3% | -31.0% | 1.32 | 2.04 | 13.3x | 28 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=2.7 |
41.6% | -37.7% | 1.08 | 1.10 | 6.3x | 16 | 37% |
| ROC 모멘텀 n=54, threshold=0.13 |
42.0% | -34.6% | 1.08 | 1.22 | 6.4x | 56 | 39% |
| SMA 크로스오버 fast=26, slow=38 |
45.9% | -53.0% | 1.07 | 0.87 | 7.3x | 36 | 55% |
| Donchian 채널 돌파 entryN=23, exitN=53 |
49.4% | -55.0% | 1.06 | 0.90 | 8.3x | 14 | 66% |
| EMA 크로스오버 fast=29, slow=33 |
47.0% | -55.2% | 1.06 | 0.85 | 7.6x | 18 | 57% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
32.9% | -49.5% | 0.89 | 0.67 | 4.5x | 30 | 43% |
| Parabolic SAR step=0.035, maxStep=0.16 |
19.0% | -61.6% | 0.63 | 0.31 | 2.5x | 151 | 50% |
| MACD fast=18, slow=37, signal=14 |
-1.2% | -73.7% | 0.18 | -0.02 | 0.9x | 74 | 49% |
| Buy and hold | 60.0% | -77.9% | 1.10 | 0.77 | 11.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)