Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Youran Dairy Group Limited backtest
10 trend-following strategies were compared on the full daily history of China Youran Dairy Group Limited. 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 15.5%, MDD -29.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.7%, drawdown -83.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.3%, MDD -33.8%, Sharpe 0.76, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 31.0%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 15.5%, MDD -29.6%, exposure 32%).
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=39, threshold=11 |
23.3% | -33.8% | 0.76 | 0.69 | 3.0x | 31 | 44% |
| SMA 크로스오버 fast=32, slow=194 |
21.7% | -36.8% | 0.75 | 0.59 | 2.8x | 3 | 31% |
| Donchian 채널 돌파 entryN=88, exitN=69 |
21.4% | -36.8% | 0.74 | 0.58 | 2.8x | 2 | 28% |
| EMA 크로스오버 fast=51, slow=94 |
20.1% | -36.8% | 0.70 | 0.55 | 2.6x | 3 | 32% |
| ROC 모멘텀 n=104, threshold=0.13 |
19.0% | -36.8% | 0.69 | 0.52 | 2.5x | 18 | 27% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=15, mult=1 |
15.5% | -29.6% | 0.60 | 0.52 | 2.1x | 22 | 32% |
| 볼린저 밴드 돌파 n=21, k=2.9 |
11.6% | -32.7% | 0.58 | 0.36 | 1.8x | 22 | 15% |
| Supertrend period=30, mult=4.5 |
13.0% | -37.3% | 0.52 | 0.35 | 1.9x | 13 | 45% |
| MACD fast=14, slow=34, signal=20 |
9.4% | -54.8% | 0.44 | 0.17 | 1.6x | 62 | 47% |
| Parabolic SAR step=0.055, maxStep=0.12 |
0.9% | -62.1% | 0.21 | 0.02 | 1.1x | 150 | 42% |
| Buy and hold | -7.7% | -83.3% | 0.08 | -0.09 | 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, 39-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)