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 10.8%, MDD -38.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.7%, drawdown -97.3%).
Sharpe leader (same as main): Supertrend — CAGR 20.5%, MDD -52.5%, Sharpe 0.72, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 10.8%, 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 |
20.5% | -52.5% | 0.72 | 0.39 | 45.8x | 53 | 44% |
| SMA 크로스오버 fast=11, slow=71 |
17.5% | -75.6% | 0.64 | 0.23 | 27.0x | 77 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=2.5 |
13.4% | -38.6% | 0.60 | 0.35 | 13.1x | 70 | 29% |
| Parabolic SAR step=0.005, maxStep=0.34 |
15.7% | -67.0% | 0.59 | 0.23 | 19.8x | 150 | 50% |
| ADX / DI 방향성 period=34, threshold=19 |
10.8% | -38.1% | 0.59 | 0.28 | 8.2x | 48 | 18% |
| EMA 크로스오버 fast=15, slow=42 |
15.0% | -69.5% | 0.58 | 0.22 | 17.4x | 90 | 48% |
| MACD fast=18, slow=22, signal=10 |
14.7% | -73.1% | 0.57 | 0.20 | 16.6x | 296 | 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 |
12.7% | -76.3% | 0.53 | 0.17 | 11.7x | 43 | 47% |
| ROC 모멘텀 n=71, threshold=0.03 |
12.2% | -68.1% | 0.52 | 0.18 | 10.5x | 183 | 45% |
| Buy and hold | 1.7% | -97.3% | 0.30 | 0.02 | 1.4x | 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)