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. 1 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 60.8%, MDD -32.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 61.0%, drawdown -77.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 60.8%, MDD -32.1%, Sharpe 1.29, 51% exposure.
CAGR reference leader: Supertrend — CAGR 63.8%, MDD -38.5%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 45.8%p (CAGR 60.8%, MDD -32.1%, exposure 51%).
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=26, threshold=13 |
60.8% | -32.1% | 1.29 | 1.89 | 12.8x | 29 | 51% |
| Supertrend period=12, mult=3.1 |
63.8% | -38.5% | 1.29 | 1.66 | 14.1x | 23 | 55% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=2.7 |
40.8% | -37.7% | 1.07 | 1.08 | 6.3x | 16 | 37% |
| ROC 모멘텀 n=54, threshold=0.13 |
41.2% | -34.6% | 1.07 | 1.19 | 6.4x | 56 | 38% |
| EMA 크로스오버 fast=29, slow=33 |
46.1% | -55.2% | 1.05 | 0.84 | 7.6x | 18 | 56% |
| SMA 크로스오버 fast=26, slow=38 |
42.8% | -53.0% | 1.03 | 0.81 | 6.8x | 37 | 54% |
| Donchian 채널 돌파 entryN=23, exitN=53 |
46.5% | -55.0% | 1.02 | 0.85 | 7.7x | 15 | 66% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
32.3% | -49.5% | 0.89 | 0.65 | 4.5x | 30 | 42% |
| Parabolic SAR step=0.035, maxStep=0.16 |
19.4% | -61.6% | 0.63 | 0.31 | 2.6x | 154 | 50% |
| MACD fast=18, slow=37, signal=14 |
-0.4% | -73.7% | 0.20 | -0.01 | 1.0x | 75 | 50% |
| Buy and hold | 61.0% | -77.9% | 1.11 | 0.78 | 12.9x | 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, 26-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)