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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

China Vanke Co., Ltd Class A backtest

10 trend-following strategies were compared on the full daily history of China Vanke 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 13.2%, MDD -48.7%).

Data 1991-01-02 ~ 2026-08-31daily bars 8,933 (35.7 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR 7.0%, drawdown -92.8%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.2%, MDD -48.7%, Sharpe 0.61, 19% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 13.5%, MDD -72.6%, exposure 49%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 13.2%, MDD -48.7%, 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=29, threshold=23
13.2%-48.7%0.610.2781.9x7619%
Donchian 채널 돌파
entryN=76, exitN=65
13.5%-72.6%0.530.1990.8x4649%
SMA 크로스오버
fast=25, slow=78
12.7%-76.2%0.520.1770.2x11046%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=10, mult=3.6
10.1%-56.7%0.490.1831.1x6816%
EMA 크로스오버
fast=38, slow=45
11.5%-77.4%0.490.1548.9x11247%
Supertrend
period=9, mult=4.5
11.5%-83.3%0.480.1448.5x12252%
볼린저 밴드 돌파
n=54, k=2.6
9.6%-70.0%0.450.1426.4x10025%
Parabolic SAR
step=0.01, maxStep=0.36
9.9%-72.8%0.440.1429.2x42848%
ROC 모멘텀
n=122, threshold=0.03
7.8%-77.7%0.390.1014.5x27644%
MACD
fast=7, slow=54, signal=19
7.4%-89.4%0.370.0812.8x53149%
Buy and hold7.0%-92.8%0.370.0811.1x1100%
1x 10x 100x 1992 1997 2002 2007 2012 2017 2022 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -46% -70% -93% 1992 1997 2002 2007 2012 2017 2022 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -48.7% (2018-01-24 → 2026-01-26), prior peak not yet recovered.

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.
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