Trend-Following Backtester · Guide · backtest 한국어
equity · CN
SDIC Power Holdings Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of SDIC Power Holdings Co., Ltd. Class A. 4 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 11.3%, MDD -32.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.9%, drawdown -75.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.3%, MDD -32.5%, Sharpe 0.71, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 11.3%, MDD -32.5%, exposure 18%).
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=31, threshold=24 |
11.3% | -32.5% | 0.71 | 0.35 | 26.7x | 52 | 18% |
| SMA 크로스오버 fast=47, slow=124 |
10.5% | -55.1% | 0.52 | 0.19 | 21.2x | 57 | 54% |
| Donchian 채널 돌파 entryN=25, exitN=49 |
11.3% | -77.9% | 0.52 | 0.14 | 26.4x | 81 | 66% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=1.1 |
10.1% | -53.7% | 0.52 | 0.19 | 19.1x | 200 | 45% |
| Supertrend period=9, mult=2.4 |
9.8% | -65.6% | 0.49 | 0.15 | 17.5x | 230 | 55% |
| EMA 크로스오버 fast=10, slow=46 |
8.7% | -63.5% | 0.45 | 0.14 | 12.7x | 186 | 53% |
| 볼린저 밴드 돌파 n=35, k=1.2 |
7.4% | -62.7% | 0.42 | 0.12 | 9.0x | 250 | 44% |
| ROC 모멘텀 n=80, threshold=0.11 |
6.6% | -66.1% | 0.40 | 0.10 | 7.1x | 266 | 31% |
| Parabolic SAR step=0.015, maxStep=0.08 |
5.4% | -71.9% | 0.34 | 0.08 | 5.0x | 428 | 51% |
| MACD fast=17, slow=57, signal=22 |
1.8% | -71.3% | 0.20 | 0.03 | 1.7x | 282 | 52% |
| Buy and hold | 9.9% | -75.9% | 0.45 | 0.13 | 18.2x | 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, 31-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)