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 44.4%, MDD -32.3%).

Data 2020-07-20 ~ 2026-07-31daily bars 1,464 (6.0 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 40.4%, drawdown -83.2%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 48.3%, MDD -35.0%, Sharpe 1.17, 25% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 56.6%, MDD -62.2%, exposure 50%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 44.4%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=11, threshold=31
48.3%-35.0%1.171.3810.7x3225%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=14, mult=3.4
44.4%-32.3%1.131.379.1x1419%
EMA 크로스오버
fast=52, slow=185
56.6%-62.2%1.120.9114.9x350%
볼린저 밴드 돌파
n=24, k=2.9
39.8%-41.0%1.100.977.5x1617%
ROC 모멘텀
n=125, threshold=-0.02
52.0%-57.0%1.050.9112.5x1952%
SMA 크로스오버
fast=6, slow=157
47.2%-50.9%1.000.9310.3x1148%
Donchian 채널 돌파
entryN=139, exitN=40
42.6%-55.1%0.980.778.5x839%
MACD
fast=31, slow=41, signal=12
43.1%-61.5%0.970.708.7x5845%
Supertrend
period=8, mult=2.3
33.4%-63.9%0.810.525.7x5452%
Parabolic SAR
step=0.03, maxStep=0.3
16.6%-82.9%0.560.202.5x16649%
Buy and hold40.4%-83.2%0.840.497.7x1100%
1x 10x 2021 2022 2023 2024 2025 2026 EMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -21% -42% -62% -83% 2021 2022 2023 2024 2025 2026 Buy and holdEMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -35.0% (2023-04-20 → 2024-10-11), recovered after 581 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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