Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Xingyun Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Xingyun Technology Co., Ltd. Class A. 8 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 16.6%, MDD -53.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.8%, drawdown -97.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.6%, MDD -53.2%, Sharpe 0.67, 24% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 16.6%, MDD -53.2%, exposure 24%).
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=8, threshold=38 |
16.6% | -53.2% | 0.67 | 0.31 | 10.4x | 124 | 24% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=10, mult=4 |
11.2% | -61.1% | 0.51 | 0.18 | 5.1x | 26 | 16% |
| Donchian 채널 돌파 entryN=11, exitN=49 |
12.3% | -87.4% | 0.49 | 0.14 | 5.9x | 57 | 75% |
| 볼린저 밴드 돌파 n=13, k=1.7 |
10.4% | -74.7% | 0.46 | 0.14 | 4.6x | 180 | 30% |
| Supertrend period=12, mult=2.4 |
9.2% | -82.8% | 0.42 | 0.11 | 3.8x | 132 | 46% |
| SMA 크로스오버 fast=59, slow=186 |
9.1% | -90.5% | 0.42 | 0.10 | 3.8x | 19 | 51% |
| EMA 크로스오버 fast=47, slow=207 |
8.9% | -92.0% | 0.42 | 0.10 | 3.7x | 19 | 48% |
| MACD fast=12, slow=14, signal=15 |
8.6% | -93.8% | 0.41 | 0.09 | 3.5x | 249 | 50% |
| ROC 모멘텀 n=145, threshold=-0.02 |
3.2% | -96.5% | 0.30 | 0.03 | 1.6x | 157 | 52% |
| Parabolic SAR step=0.02, maxStep=0.38 |
2.0% | -90.3% | 0.26 | 0.02 | 1.4x | 281 | 48% |
| Buy and hold | 6.8% | -97.1% | 0.41 | 0.07 | 2.7x | 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, 8-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)