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.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 40.6%, MDD -56.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 19.3%, drawdown -93.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 41.1%, MDD -57.6%, Sharpe 0.94, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 40.6%, MDD -56.4%, exposure 52%).
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=120, threshold=-0.04 |
41.1% | -57.6% | 0.94 | 0.71 | 10.4x | 20 | 54% |
| Supertrend period=12, mult=5 |
40.6% | -56.4% | 0.92 | 0.72 | 10.2x | 14 | 52% |
| SMA 크로스오버 fast=19, slow=120 |
38.6% | -57.6% | 0.92 | 0.67 | 9.2x | 10 | 48% |
| ADX / DI 방향성 period=38, threshold=11 |
36.9% | -59.1% | 0.90 | 0.63 | 8.5x | 48 | 45% |
| EMA 크로스오버 fast=41, slow=107 |
37.3% | -62.6% | 0.87 | 0.60 | 8.7x | 6 | 54% |
| 볼린저 밴드 돌파 n=22, k=1.8 |
29.3% | -67.8% | 0.80 | 0.43 | 5.7x | 52 | 31% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=10, mult=0.7 |
29.4% | -64.4% | 0.77 | 0.46 | 5.8x | 86 | 38% |
| MACD fast=7, slow=56, signal=19 |
22.8% | -77.5% | 0.66 | 0.29 | 4.1x | 91 | 47% |
| Donchian 채널 돌파 entryN=55, exitN=41 |
21.2% | -75.6% | 0.65 | 0.28 | 3.7x | 12 | 42% |
| Parabolic SAR step=0.03, maxStep=0.12 |
19.6% | -82.3% | 0.60 | 0.24 | 3.4x | 164 | 49% |
| Buy and hold | 19.3% | -93.1% | 0.61 | 0.21 | 3.3x | 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 120-day return is greater than -4%
- Sell — Sell when the 120-day return drops to -4% or below