Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Railway Group Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China Railway Group Limited Class A. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -18.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -81.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.2%, MDD -27.5%, Sharpe 0.72, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 6.2%, MDD -18.5%, exposure 2%).
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=20, threshold=33 |
11.2% | -27.5% | 0.72 | 0.41 | 7.3x | 28 | 9% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=19, mult=4 |
6.2% | -18.5% | 0.62 | 0.34 | 3.1x | 10 | 2% |
| Donchian 채널 돌파 entryN=156, exitN=11 |
7.9% | -32.4% | 0.60 | 0.24 | 4.1x | 20 | 7% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
6.4% | -37.0% | 0.59 | 0.17 | 3.2x | 16 | 4% |
| ROC 모멘텀 n=4, threshold=0.13 |
3.7% | -24.7% | 0.42 | 0.15 | 2.0x | 58 | 2% |
| Supertrend period=5, mult=3.6 |
5.1% | -68.5% | 0.33 | 0.07 | 2.5x | 75 | 54% |
| SMA 크로스오버 fast=49, slow=123 |
4.3% | -58.3% | 0.30 | 0.07 | 2.2x | 52 | 38% |
| EMA 크로스오버 fast=49, slow=167 |
1.6% | -79.1% | 0.19 | 0.02 | 1.3x | 36 | 29% |
| MACD fast=16, slow=33, signal=13 |
1.2% | -64.2% | 0.18 | 0.02 | 1.2x | 229 | 52% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.6% | -74.5% | 0.10 | -0.01 | 0.9x | 217 | 45% |
| Buy and hold | -3.0% | -81.6% | 0.09 | -0.04 | 0.6x | 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, 20-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)