Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CSC Financial Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of CSC Financial Co., Ltd. Class A. 7 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 15.1%, MDD -35.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.1%, drawdown -69.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.7%, MDD -36.8%, Sharpe 0.69, 21% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 15.1%, MDD -35.0%, exposure 17%).
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=14, threshold=29 |
16.7% | -36.8% | 0.69 | 0.45 | 3.5x | 36 | 21% |
| Donchian 채널 돌파 entryN=58, exitN=10 |
15.1% | -35.0% | 0.65 | 0.43 | 3.1x | 24 | 17% |
| SMA 크로스오버 fast=64, slow=123 |
15.0% | -44.4% | 0.60 | 0.34 | 3.1x | 17 | 42% |
| Supertrend period=26, mult=2.8 |
14.3% | -59.1% | 0.58 | 0.24 | 2.9x | 52 | 35% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
11.8% | -55.3% | 0.52 | 0.21 | 2.5x | 38 | 28% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=2.9 |
11.4% | -37.9% | 0.51 | 0.30 | 2.4x | 24 | 22% |
| ROC 모멘텀 n=142, threshold=0.04 |
11.4% | -53.9% | 0.50 | 0.21 | 2.4x | 36 | 41% |
| MACD fast=22, slow=55, signal=17 |
9.6% | -61.2% | 0.44 | 0.16 | 2.1x | 70 | 46% |
| Parabolic SAR step=0.015, maxStep=0.1 |
7.7% | -59.8% | 0.39 | 0.13 | 1.8x | 118 | 46% |
| EMA 크로스오버 fast=22, slow=68 |
6.9% | -69.3% | 0.37 | 0.10 | 1.7x | 29 | 46% |
| Buy and hold | 10.1% | -69.6% | 0.44 | 0.14 | 2.2x | 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, 14-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)