Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tianshan Aluminum Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tianshan Aluminum Group Co., Ltd. Class A. 1 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 4.9%, MDD -41.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -69.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -41.8%, Sharpe 0.38, 9% exposure.
CAGR reference leader: MACD — CAGR 5.5%, MDD -57.9%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 28.0%p (CAGR 4.9%, MDD -41.8%, exposure 9%).
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=20, threshold=30 |
4.9% | -41.8% | 0.38 | 0.12 | 2.1x | 26 | 9% |
| MACD fast=15, slow=23, signal=19 |
5.5% | -57.9% | 0.33 | 0.09 | 2.3x | 203 | 53% |
| Donchian 채널 돌파 entryN=95, exitN=5 |
3.2% | -47.7% | 0.28 | 0.07 | 1.6x | 46 | 9% |
| Supertrend period=17, mult=3 |
2.6% | -66.1% | 0.24 | 0.04 | 1.5x | 99 | 48% |
| SMA 크로스오버 fast=68, slow=180 |
1.9% | -62.2% | 0.23 | 0.03 | 1.3x | 28 | 49% |
| 볼린저 밴드 돌파 n=32, k=1.8 |
1.7% | -58.9% | 0.20 | 0.03 | 1.3x | 104 | 29% |
| Parabolic SAR step=0.02, maxStep=0.06 |
1.3% | -69.0% | 0.20 | 0.02 | 1.2x | 223 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=3.1 |
0.1% | -75.7% | 0.13 | 0.00 | 1.0x | 40 | 20% |
| EMA 크로스오버 fast=16, slow=21 |
-2.4% | -78.8% | 0.10 | -0.03 | 0.7x | 119 | 50% |
| ROC 모멘텀 n=140, threshold=0.04 |
-3.8% | -69.9% | 0.04 | -0.05 | 0.5x | 138 | 44% |
| Buy and hold | 5.4% | -69.8% | 0.35 | 0.08 | 2.3x | 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, 20-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)