Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Everbright Bank Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Everbright Bank 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 ADX / DI 방향성 (CAGR 2.2%, MDD -28.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -57.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -28.6%, Sharpe 0.24, 6% exposure.
CAGR reference leader: Supertrend — CAGR 2.3%, MDD -56.1%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 2.2%, MDD -28.6%, exposure 6%).
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=38, threshold=25 |
2.2% | -28.6% | 0.24 | 0.08 | 1.4x | 8 | 6% |
| Supertrend period=27, mult=5 |
2.3% | -56.1% | 0.22 | 0.04 | 1.4x | 43 | 43% |
| Donchian 채널 돌파 entryN=73, exitN=78 |
1.5% | -44.0% | 0.17 | 0.03 | 1.3x | 22 | 46% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=24, mult=2.5 |
1.4% | -40.6% | 0.17 | 0.03 | 1.2x | 48 | 11% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.9% | -40.0% | 0.14 | 0.02 | 1.2x | 20 | 6% |
| EMA 크로스오버 fast=54, slow=191 |
0.4% | -57.3% | 0.12 | 0.01 | 1.1x | 18 | 38% |
| SMA 크로스오버 fast=36, slow=210 |
0.2% | -58.7% | 0.11 | 0.00 | 1.0x | 18 | 41% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.09 |
-0.9% | -59.1% | 0.09 | -0.02 | 0.9x | 25 | 99% |
| MACD fast=18, slow=43, signal=16 |
-5.9% | -66.0% | -0.25 | -0.09 | 0.4x | 181 | 50% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-8.3% | -79.8% | -0.39 | -0.10 | 0.2x | 247 | 46% |
| Buy and hold | -0.9% | -57.4% | 0.09 | -0.02 | 0.9x | 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, 38-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)