Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Daqin Railway Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Daqin Railway Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -20.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.5%, drawdown -83.5%).
Sharpe leader (same as main): Supertrend — CAGR 6.8%, MDD -54.4%, Sharpe 0.42, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 3.7%, MDD -20.3%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.8 |
6.8% | -54.4% | 0.42 | 0.13 | 3.7x | 44 | 51% |
| ADX / DI 방향성 period=36, threshold=27 |
3.7% | -20.3% | 0.37 | 0.18 | 2.1x | 24 | 8% |
| ROC 모멘텀 n=83, threshold=0.09 |
4.3% | -49.8% | 0.32 | 0.09 | 2.3x | 116 | 22% |
| SMA 크로스오버 fast=22, slow=105 |
4.3% | -53.1% | 0.31 | 0.08 | 2.3x | 56 | 44% |
| Donchian 채널 돌파 entryN=59, exitN=43 |
4.2% | -54.9% | 0.31 | 0.08 | 2.3x | 36 | 37% |
| EMA 크로스오버 fast=34, slow=55 |
4.3% | -59.4% | 0.30 | 0.07 | 2.3x | 62 | 44% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=4 |
2.7% | -35.4% | 0.26 | 0.08 | 1.7x | 30 | 14% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
1.2% | -57.6% | 0.16 | 0.02 | 1.3x | 80 | 28% |
| MACD fast=19, slow=59, signal=15 |
-2.6% | -80.7% | -0.02 | -0.03 | 0.6x | 197 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.7% | -89.4% | -0.24 | -0.07 | 0.2x | 161 | 47% |
| Buy and hold | -0.5% | -83.5% | 0.14 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)