Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Resources Power Holdings Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Resources Power Holdings Co. Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -77.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.0%, MDD -37.0%, Sharpe 0.43, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.0%, MDD -65.4%, exposure 54%.
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=29, threshold=22 |
6.0% | -37.0% | 0.43 | 0.16 | 3.8x | 44 | 13% |
| SMA 크로스오버 fast=37, slow=60 |
8.0% | -65.4% | 0.41 | 0.12 | 5.8x | 98 | 54% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
2.3% | -18.8% | 0.37 | 0.12 | 1.7x | 6 | 1% |
| Donchian 채널 돌파 entryN=26, exitN=51 |
5.2% | -61.1% | 0.32 | 0.09 | 3.2x | 70 | 63% |
| Supertrend period=10, mult=2.8 |
4.5% | -68.9% | 0.30 | 0.06 | 2.7x | 157 | 54% |
| ROC 모멘텀 n=61, threshold=-0.05 |
2.7% | -72.7% | 0.24 | 0.04 | 1.8x | 259 | 68% |
| EMA 크로스오버 fast=57, slow=159 |
2.8% | -78.5% | 0.24 | 0.04 | 1.9x | 40 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.2% | -68.5% | 0.19 | 0.02 | 1.3x | 185 | 54% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=32, mult=3.1 |
0.3% | -64.8% | 0.11 | 0.00 | 1.1x | 66 | 16% |
| MACD fast=12, slow=58, signal=17 |
-5.3% | -80.4% | -0.07 | -0.07 | 0.3x | 307 | 50% |
| Buy and hold | 9.0% | -77.9% | 0.42 | 0.12 | 7.1x | 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, 29-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)