Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong HEC Technology Holding Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong HEC Technology Holding Co. Ltd. Class A. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.7%, MDD -62.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.8%, drawdown -85.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.7%, MDD -66.4%, Sharpe 0.50, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 10.7%, MDD -62.2%, exposure 50%).
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=13 |
12.7% | -66.4% | 0.50 | 0.19 | 50.9x | 294 | 47% |
| Donchian 채널 돌파 entryN=20, exitN=36 |
11.9% | -82.0% | 0.48 | 0.15 | 41.1x | 117 | 63% |
| EMA 크로스오버 fast=13, slow=188 |
11.3% | -72.4% | 0.47 | 0.16 | 33.7x | 63 | 50% |
| Supertrend period=10, mult=2.2 |
10.7% | -62.2% | 0.45 | 0.17 | 28.8x | 304 | 50% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=1.8 |
8.8% | -66.6% | 0.41 | 0.13 | 15.9x | 166 | 37% |
| SMA 크로스오버 fast=14, slow=96 |
8.8% | -68.7% | 0.41 | 0.13 | 16.3x | 112 | 48% |
| 볼린저 밴드 돌파 n=42, k=3 |
7.9% | -55.2% | 0.41 | 0.14 | 12.2x | 70 | 18% |
| Parabolic SAR step=0.01, maxStep=0.38 |
7.9% | -63.2% | 0.39 | 0.13 | 12.3x | 387 | 50% |
| ROC 모멘텀 n=96, threshold=0.06 |
7.4% | -75.5% | 0.38 | 0.10 | 10.4x | 260 | 44% |
| MACD fast=12, slow=30, signal=8 |
6.2% | -71.5% | 0.35 | 0.09 | 7.3x | 582 | 51% |
| Buy and hold | 8.8% | -85.0% | 0.42 | 0.10 | 16.1x | 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 ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)