Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Resources Mixc Lifestyle Services Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Resources Mixc Lifestyle Services Ltd.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.9%, drawdown -61.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -1.1%, Sharpe 0.71, 0% exposure.
CAGR reference leader: Supertrend — CAGR 6.1%, MDD -51.6%, exposure 53%.
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=31, threshold=33 |
2.1% | -1.1% | 0.71 | 1.80 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
3.6% | -19.7% | 0.36 | 0.19 | 1.2x | 2 | 1% |
| Supertrend period=14, mult=2.5 |
6.1% | -51.6% | 0.35 | 0.12 | 1.4x | 39 | 53% |
| SMA 크로스오버 fast=20, slow=34 |
5.7% | -55.4% | 0.34 | 0.10 | 1.4x | 43 | 46% |
| EMA 크로스오버 fast=15, slow=81 |
1.7% | -49.2% | 0.21 | 0.03 | 1.1x | 18 | 47% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.6% | -60.8% | 0.15 | -0.01 | 1.0x | 43 | 52% |
| ROC 모멘텀 n=191, threshold=-0.04 |
-2.2% | -44.5% | 0.07 | -0.05 | 0.9x | 34 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=22, mult=4 |
-0.1% | -20.9% | 0.05 | -0.00 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=25, exitN=54 |
-5.6% | -66.8% | 0.02 | -0.08 | 0.7x | 16 | 61% |
| MACD fast=13, slow=44, signal=16 |
-10.4% | -63.1% | -0.23 | -0.17 | 0.5x | 75 | 44% |
| Buy and hold | 5.9% | -61.6% | 0.36 | 0.10 | 1.4x | 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, 31-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)