Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Cambricon Technologies Corp. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Cambricon Technologies Corp. Ltd. Class A. 7 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 43.6%, MDD -32.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 39.8%, drawdown -83.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 47.5%, MDD -35.0%, Sharpe 1.16, 25% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 55.8%, MDD -62.2%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 43.6%, MDD -32.3%, exposure 19%).
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=11, threshold=31 |
47.5% | -35.0% | 1.16 | 1.36 | 10.7x | 32 | 25% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=3.4 |
43.6% | -32.3% | 1.12 | 1.35 | 9.1x | 14 | 19% |
| EMA 크로스오버 fast=52, slow=185 |
55.8% | -62.2% | 1.10 | 0.90 | 15.0x | 3 | 51% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
39.2% | -41.0% | 1.09 | 0.95 | 7.5x | 16 | 17% |
| ROC 모멘텀 n=125, threshold=-0.02 |
51.2% | -57.0% | 1.04 | 0.90 | 12.5x | 19 | 52% |
| Donchian 채널 돌파 entryN=139, exitN=40 |
41.9% | -55.1% | 0.97 | 0.76 | 8.5x | 8 | 39% |
| MACD fast=31, slow=41, signal=12 |
42.4% | -61.5% | 0.97 | 0.69 | 8.7x | 58 | 44% |
| SMA 크로스오버 fast=6, slow=157 |
44.1% | -50.9% | 0.96 | 0.87 | 9.3x | 12 | 48% |
| Supertrend period=8, mult=2.3 |
32.9% | -63.9% | 0.80 | 0.51 | 5.7x | 54 | 51% |
| Parabolic SAR step=0.03, maxStep=0.3 |
16.4% | -82.9% | 0.55 | 0.20 | 2.5x | 169 | 49% |
| Buy and hold | 39.8% | -83.2% | 0.84 | 0.48 | 7.8x | 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, 11-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)