Trend-Following Backtester · Guide · backtest 한국어
equity · HK
XD, Inc. backtest
10 trend-following strategies were compared on the full daily history of XD, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 41.9%, MDD -56.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 23.2%, drawdown -93.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 42.3%, MDD -57.6%, Sharpe 0.95, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 41.9%, MDD -56.4%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=119, threshold=-0.03 |
42.3% | -57.6% | 0.95 | 0.73 | 10.4x | 20 | 55% |
| Supertrend period=12, mult=5 |
41.9% | -56.4% | 0.93 | 0.74 | 10.2x | 14 | 54% |
| SMA 크로스오버 fast=17, slow=124 |
37.6% | -57.6% | 0.90 | 0.65 | 8.3x | 10 | 49% |
| EMA 크로스오버 fast=41, slow=111 |
39.1% | -62.6% | 0.90 | 0.62 | 8.9x | 6 | 55% |
| Parabolic SAR step=0.035, maxStep=0.04 |
38.8% | -76.0% | 0.89 | 0.51 | 8.8x | 69 | 47% |
| ADX / DI 방향성 period=37, threshold=11 |
31.4% | -64.8% | 0.80 | 0.48 | 6.1x | 54 | 46% |
| 볼린저 밴드 돌파 n=23, k=1.2 |
31.2% | -68.7% | 0.80 | 0.45 | 6.0x | 66 | 37% |
| MACD fast=15, slow=57, signal=10 |
29.8% | -77.4% | 0.77 | 0.39 | 5.6x | 81 | 47% |
| Donchian 채널 돌파 entryN=11, exitN=79 |
26.7% | -87.1% | 0.69 | 0.31 | 4.8x | 20 | 80% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=2.3 |
20.2% | -45.7% | 0.66 | 0.44 | 3.4x | 30 | 23% |
| Buy and hold | 23.2% | -93.1% | 0.65 | 0.25 | 4.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 119-day return is greater than -3%
- Sell — Sell when the 119-day return drops to -3% or below