Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Eastern Shenghong Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Eastern Shenghong Co., Ltd. Class A. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.3%, MDD -45.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.9%, drawdown -87.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.2%, MDD -55.1%, Sharpe 0.63, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.2%, MDD -63.1%, exposure 44%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 10.3%, MDD -45.9%, exposure 15%).
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=35, threshold=18 |
13.2% | -55.1% | 0.63 | 0.24 | 26.4x | 64 | 24% |
| SMA 크로스오버 fast=40, slow=153 |
15.2% | -63.1% | 0.62 | 0.24 | 42.0x | 43 | 44% |
| Donchian 채널 돌파 entryN=100, exitN=57 |
13.9% | -61.7% | 0.61 | 0.22 | 30.6x | 27 | 36% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
10.3% | -45.9% | 0.57 | 0.22 | 13.1x | 26 | 15% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=3.8 |
9.1% | -54.8% | 0.49 | 0.17 | 9.9x | 44 | 19% |
| EMA 크로스오버 fast=60, slow=106 |
10.4% | -74.9% | 0.48 | 0.14 | 13.5x | 33 | 43% |
| ROC 모멘텀 n=149, threshold=0.09 |
9.8% | -75.0% | 0.47 | 0.13 | 11.8x | 180 | 32% |
| Supertrend period=9, mult=3.3 |
8.0% | -80.0% | 0.41 | 0.10 | 7.6x | 139 | 49% |
| Parabolic SAR step=0.01, maxStep=0.08 |
4.1% | -72.7% | 0.28 | 0.06 | 2.9x | 290 | 48% |
| MACD fast=11, slow=28, signal=12 |
0.0% | -71.6% | 0.15 | 0.00 | 1.0x | 422 | 52% |
| Buy and hold | 1.9% | -87.2% | 0.26 | 0.02 | 1.7x | 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, 35-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)