Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Kunlun Tech Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Kunlun Tech Co., Ltd. Class A. 7 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 10.2%, MDD -26.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.4%, drawdown -80.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.6%, MDD -39.3%, Sharpe 0.55, 17% exposure.
CAGR reference leader: MACD — CAGR 12.9%, MDD -74.8%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 10.2%, MDD -26.5%, 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=28 |
12.6% | -39.3% | 0.55 | 0.32 | 3.9x | 28 | 17% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=9, mult=4 |
10.1% | -30.7% | 0.54 | 0.33 | 3.0x | 10 | 7% |
| 볼린저 밴드 돌파 n=50, k=3.4 |
10.2% | -26.5% | 0.50 | 0.39 | 3.1x | 10 | 9% |
| MACD fast=17, slow=92, signal=28 |
12.9% | -74.8% | 0.50 | 0.17 | 4.0x | 81 | 51% |
| Donchian 채널 돌파 entryN=44, exitN=27 |
9.7% | -57.3% | 0.44 | 0.17 | 2.9x | 32 | 35% |
| Parabolic SAR step=0.035, maxStep=0.06 |
9.1% | -68.8% | 0.42 | 0.13 | 2.7x | 174 | 47% |
| SMA 크로스오버 fast=9, slow=39 |
8.8% | -67.1% | 0.41 | 0.13 | 2.6x | 90 | 46% |
| Supertrend period=6, mult=3.1 |
6.9% | -78.2% | 0.38 | 0.09 | 2.2x | 66 | 53% |
| ROC 모멘텀 n=38, threshold=0.14 |
4.6% | -68.9% | 0.30 | 0.07 | 1.7x | 130 | 22% |
| EMA 크로스오버 fast=20, slow=121 |
0.6% | -70.6% | 0.22 | 0.01 | 1.1x | 30 | 39% |
| Buy and hold | 8.4% | -80.9% | 0.44 | 0.10 | 2.5x | 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 ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)