Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Inner Mongolia Baotou Steel Union Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Inner Mongolia Baotou Steel Union Co. Ltd. Class A. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.8%, MDD -36.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.2%, drawdown -79.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.2%, MDD -38.8%, Sharpe 0.65, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 11.8%, MDD -36.2%, exposure 20%).
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=25, threshold=25 |
13.2% | -38.8% | 0.65 | 0.34 | 23.4x | 74 | 20% |
| Donchian 채널 돌파 entryN=54, exitN=12 |
11.8% | -36.2% | 0.59 | 0.33 | 16.9x | 78 | 20% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
9.9% | -39.5% | 0.55 | 0.25 | 11.1x | 42 | 15% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=25, mult=1.9 |
10.2% | -45.8% | 0.53 | 0.22 | 11.7x | 136 | 19% |
| Supertrend period=21, mult=3.8 |
11.2% | -55.0% | 0.52 | 0.20 | 14.9x | 98 | 41% |
| SMA 크로스오버 fast=7, slow=49 |
11.6% | -48.5% | 0.52 | 0.24 | 16.1x | 166 | 43% |
| EMA 크로스오버 fast=10, slow=35 |
9.7% | -60.5% | 0.46 | 0.16 | 10.6x | 170 | 43% |
| Parabolic SAR step=0.015, maxStep=0.36 |
6.6% | -66.8% | 0.37 | 0.10 | 5.0x | 369 | 46% |
| ROC 모멘텀 n=58, threshold=0.08 |
5.4% | -60.8% | 0.33 | 0.09 | 3.8x | 224 | 28% |
| MACD fast=18, slow=41, signal=19 |
2.8% | -77.9% | 0.24 | 0.04 | 2.0x | 263 | 49% |
| Buy and hold | 3.2% | -79.8% | 0.28 | 0.04 | 2.3x | 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, 25-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)