Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Roborock Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Roborock Technology Co. 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 ADX / DI 방향성 (CAGR 12.2%, MDD -30.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -78.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.2%, MDD -30.5%, Sharpe 0.61, 22% exposure.
CAGR reference leader: MACD — CAGR 14.6%, MDD -37.9%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 12.2%, MDD -30.5%, exposure 22%).
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=24, threshold=22 |
12.2% | -30.5% | 0.61 | 0.40 | 2.1x | 24 | 22% |
| Donchian 채널 돌파 entryN=97, exitN=33 |
13.0% | -37.0% | 0.58 | 0.35 | 2.2x | 10 | 30% |
| MACD fast=11, slow=26, signal=17 |
14.6% | -37.9% | 0.56 | 0.39 | 2.4x | 89 | 53% |
| ROC 모멘텀 n=45, threshold=0.04 |
10.8% | -55.8% | 0.47 | 0.19 | 1.9x | 68 | 43% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
8.4% | -39.7% | 0.43 | 0.21 | 1.7x | 22 | 30% |
| SMA 크로스오버 fast=49, slow=107 |
9.1% | -61.2% | 0.43 | 0.15 | 1.8x | 16 | 47% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=14, mult=2.8 |
7.2% | -38.3% | 0.40 | 0.19 | 1.6x | 20 | 22% |
| Parabolic SAR step=0.01, maxStep=0.16 |
8.0% | -33.5% | 0.40 | 0.24 | 1.6x | 77 | 51% |
| EMA 크로스오버 fast=17, slow=27 |
6.5% | -62.2% | 0.36 | 0.10 | 1.5x | 39 | 51% |
| Supertrend period=13, mult=3 |
5.7% | -65.9% | 0.34 | 0.09 | 1.4x | 35 | 56% |
| Buy and hold | -2.5% | -78.4% | 0.21 | -0.03 | 0.9x | 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, 24-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)