Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Kingshine Electronic Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Kingshine Electronic Technology 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 Keltner 채널 돌파 (CAGR 30.0%, MDD -33.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.0%, drawdown -88.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 42.7%, MDD -43.7%, Sharpe 1.15, 19% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 46.3%, MDD -61.0%, exposure 30%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.7%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 30.0%, MDD -33.0%, exposure 22%).
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=21 |
42.7% | -43.7% | 1.15 | 0.98 | 7.9x | 6 | 19% |
| ROC 모멘텀 n=82, threshold=0.12 |
46.3% | -61.0% | 1.07 | 0.76 | 9.2x | 21 | 30% |
| EMA 크로스오버 fast=13, slow=215 |
44.4% | -61.0% | 1.06 | 0.73 | 8.5x | 9 | 31% |
| SMA 크로스오버 fast=18, slow=216 |
41.2% | -61.0% | 0.99 | 0.67 | 7.4x | 7 | 35% |
| Supertrend period=28, mult=2.5 |
34.8% | -59.1% | 0.88 | 0.59 | 5.7x | 47 | 44% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=2.8 |
30.0% | -33.0% | 0.87 | 0.91 | 4.6x | 10 | 22% |
| 볼린저 밴드 돌파 n=51, k=2.6 |
28.9% | -40.9% | 0.84 | 0.71 | 4.4x | 12 | 23% |
| Donchian 채널 돌파 entryN=143, exitN=50 |
23.5% | -52.5% | 0.77 | 0.45 | 3.4x | 4 | 18% |
| Parabolic SAR step=0.03, maxStep=0.16 |
24.8% | -71.3% | 0.70 | 0.35 | 3.6x | 139 | 50% |
| MACD fast=6, slow=45, signal=12 |
15.7% | -68.9% | 0.55 | 0.23 | 2.3x | 107 | 53% |
| Buy and hold | 20.0% | -88.8% | 0.61 | 0.23 | 2.9x | 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 ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)