Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Nine Dragons Paper Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nine Dragons Paper Holdings Ltd.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.9%, MDD -38.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.2%, drawdown -97.3%).
Sharpe leader (same as main): Supertrend — CAGR 21.2%, MDD -52.5%, Sharpe 0.74, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 10.9%, MDD -38.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.8 |
21.2% | -52.5% | 0.74 | 0.40 | 50.7x | 53 | 44% |
| SMA 크로스오버 fast=11, slow=71 |
18.1% | -75.6% | 0.66 | 0.24 | 29.9x | 77 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=2.5 |
14.8% | -38.6% | 0.65 | 0.39 | 16.9x | 68 | 29% |
| Parabolic SAR step=0.005, maxStep=0.34 |
16.5% | -67.0% | 0.61 | 0.25 | 22.8x | 149 | 50% |
| EMA 크로스오버 fast=15, slow=42 |
15.4% | -69.5% | 0.59 | 0.22 | 18.5x | 89 | 48% |
| ADX / DI 방향성 period=34, threshold=19 |
10.9% | -38.1% | 0.59 | 0.29 | 8.2x | 48 | 18% |
| MACD fast=18, slow=22, signal=10 |
14.8% | -73.1% | 0.57 | 0.20 | 16.6x | 293 | 52% |
| 볼린저 밴드 돌파 n=27, k=2.8 |
9.6% | -41.2% | 0.55 | 0.23 | 6.5x | 60 | 18% |
| Donchian 채널 돌파 entryN=49, exitN=46 |
13.4% | -76.3% | 0.54 | 0.18 | 12.9x | 43 | 46% |
| ROC 모멘텀 n=71, threshold=0.03 |
13.1% | -68.1% | 0.54 | 0.19 | 12.3x | 181 | 45% |
| Buy and hold | 2.2% | -97.3% | 0.31 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)