Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -85.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.0%, MDD -84.7%, Sharpe 0.34, 48% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=38, threshold=10 |
6.0% | -84.7% | 0.34 | 0.07 | 6.9x | 281 | 48% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
4.9% | -74.9% | 0.31 | 0.07 | 5.0x | 164 | 38% |
| SMA 크로스오버 fast=52, slow=121 |
4.6% | -78.8% | 0.30 | 0.06 | 4.5x | 76 | 49% |
| Donchian 채널 돌파 entryN=57, exitN=65 |
4.2% | -77.7% | 0.29 | 0.05 | 3.9x | 62 | 55% |
| EMA 크로스오버 fast=37, slow=193 |
1.2% | -88.3% | 0.20 | 0.01 | 1.5x | 66 | 47% |
| Supertrend period=34, mult=3.3 |
1.3% | -78.8% | 0.20 | 0.02 | 1.5x | 189 | 47% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2.7 |
1.2% | -74.6% | 0.18 | 0.02 | 1.5x | 112 | 25% |
| ROC 모멘텀 n=79, threshold=0.07 |
0.5% | -82.7% | 0.18 | 0.01 | 1.2x | 342 | 37% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.5% | -90.5% | 0.15 | -0.01 | 0.8x | 265 | 50% |
| MACD fast=12, slow=53, signal=16 |
-0.9% | -89.9% | 0.14 | -0.01 | 0.7x | 427 | 53% |
| Buy and hold | 2.1% | -85.8% | 0.28 | 0.02 | 2.0x | 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, 38-day) is ≥ 10
- Sell — Sell when direction flips or the trend weakens (ADX < 10)