Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Pacific Insurance (Group) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Pacific Insurance (Group) Co., Ltd. Class A. 8 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 1.8%, MDD -15.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.1%, drawdown -79.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -15.7%, Sharpe 0.29, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.0%, MDD -64.3%, exposure 65%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 63.5%p (CAGR 1.8%, MDD -15.7%, exposure 1%).
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=27, threshold=37 |
1.8% | -15.7% | 0.29 | 0.11 | 1.4x | 4 | 1% |
| Donchian 채널 돌파 entryN=45, exitN=79 |
3.0% | -64.3% | 0.25 | 0.05 | 1.7x | 28 | 65% |
| SMA 크로스오버 fast=68, slow=105 |
2.8% | -57.1% | 0.24 | 0.05 | 1.7x | 46 | 51% |
| 볼린저 밴드 돌파 n=31, k=2.8 |
1.1% | -41.2% | 0.15 | 0.03 | 1.2x | 44 | 13% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=2.3 |
0.8% | -59.4% | 0.14 | 0.01 | 1.2x | 72 | 30% |
| EMA 크로스오버 fast=39, slow=116 |
-0.6% | -67.8% | 0.10 | -0.01 | 0.9x | 38 | 49% |
| Supertrend period=15, mult=4.6 |
-0.8% | -70.4% | 0.10 | -0.01 | 0.9x | 58 | 49% |
| ROC 모멘텀 n=111, threshold=0.13 |
-0.3% | -58.7% | 0.09 | -0.00 | 0.9x | 150 | 27% |
| MACD fast=15, slow=58, signal=18 |
-5.7% | -79.3% | -0.10 | -0.07 | 0.3x | 213 | 49% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-8.9% | -83.8% | -0.24 | -0.11 | 0.2x | 253 | 48% |
| Buy and hold | -2.1% | -79.2% | 0.13 | -0.03 | 0.7x | 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, 27-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)