Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Greentown China Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Greentown China Holdings Ltd.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.6%, MDD -23.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.7%, drawdown -90.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.6%, MDD -34.5%, Sharpe 0.45, 10% exposure.
CAGR reference leader: Supertrend — CAGR 9.2%, MDD -58.6%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 4.6%, MDD -23.5%, exposure 4%).
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=13, threshold=38 |
6.6% | -34.5% | 0.45 | 0.19 | 3.6x | 50 | 10% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
8.0% | -51.5% | 0.45 | 0.16 | 4.7x | 53 | 17% |
| Supertrend period=14, mult=1.8 |
9.2% | -58.6% | 0.43 | 0.16 | 5.9x | 263 | 46% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=27, mult=3.3 |
4.6% | -23.5% | 0.42 | 0.20 | 2.5x | 26 | 4% |
| MACD fast=11, slow=43, signal=14 |
6.1% | -77.8% | 0.35 | 0.08 | 3.3x | 261 | 50% |
| Donchian 채널 돌파 entryN=38, exitN=13 |
5.7% | -69.6% | 0.34 | 0.08 | 3.0x | 89 | 27% |
| Parabolic SAR step=0.025, maxStep=0.34 |
3.4% | -77.1% | 0.28 | 0.04 | 2.0x | 486 | 49% |
| SMA 크로스오버 fast=51, slow=106 |
3.4% | -77.5% | 0.27 | 0.04 | 2.0x | 48 | 48% |
| ROC 모멘텀 n=93, threshold=-0.04 |
2.7% | -86.0% | 0.26 | 0.03 | 1.7x | 160 | 54% |
| EMA 크로스오버 fast=53, slow=139 |
-1.0% | -83.1% | 0.15 | -0.01 | 0.8x | 32 | 47% |
| Buy and hold | -1.7% | -90.8% | 0.23 | -0.02 | 0.7x | 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, 13-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)