Trend-Following Backtester · Guide · backtest 한국어
equity · HK
JD Health International, Inc. backtest
10 trend-following strategies were compared on the full daily history of JD Health International, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -7.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.6%, drawdown -89.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.4%, MDD -7.3%, Sharpe 0.65, 3% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 11.6%, MDD -35.2%, exposure 23%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.0%p higher than buy and hold, while drawdown improves by 82.5%p (CAGR 5.4%, MDD -7.3%, exposure 3%).
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=23, threshold=34 |
5.4% | -7.3% | 0.65 | 0.74 | 1.4x | 2 | 3% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
11.6% | -35.2% | 0.54 | 0.33 | 1.9x | 14 | 23% |
| Donchian 채널 돌파 entryN=62, exitN=56 |
10.7% | -36.0% | 0.49 | 0.30 | 1.8x | 6 | 30% |
| ROC 모멘텀 n=121, threshold=0.04 |
10.3% | -51.9% | 0.48 | 0.20 | 1.8x | 32 | 32% |
| EMA 크로스오버 fast=32, slow=181 |
8.2% | -40.9% | 0.43 | 0.20 | 1.6x | 4 | 28% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=11, mult=2.7 |
6.8% | -32.4% | 0.39 | 0.21 | 1.5x | 12 | 16% |
| SMA 크로스오버 fast=31, slow=210 |
6.3% | -40.2% | 0.36 | 0.16 | 1.4x | 6 | 32% |
| Supertrend period=21, mult=3.2 |
4.5% | -57.5% | 0.31 | 0.08 | 1.3x | 27 | 41% |
| MACD fast=11, slow=59, signal=15 |
-0.8% | -62.0% | 0.19 | -0.01 | 1.0x | 70 | 48% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-6.1% | -74.8% | 0.05 | -0.08 | 0.7x | 72 | 44% |
| Buy and hold | -17.6% | -89.8% | -0.00 | -0.20 | 0.3x | 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, 23-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)