Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yangtze Optical Fibre & Cable Joint Stock Ltd. Co. Class A backtest
10 trend-following strategies were compared on the full daily history of Yangtze Optical Fibre & Cable Joint Stock Ltd. Co. Class A. 9 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 34.7%, MDD -39.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.4%, drawdown -64.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.7%, MDD -39.6%, Sharpe 1.03, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 34.7%, MDD -39.6%, exposure 25%).
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=37, threshold=21 |
34.7% | -39.6% | 1.03 | 0.88 | 10.8x | 14 | 25% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=1.7 |
32.7% | -42.8% | 0.96 | 0.76 | 9.6x | 38 | 33% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
33.2% | -43.1% | 0.96 | 0.77 | 9.9x | 34 | 36% |
| EMA 크로스오버 fast=42, slow=254 |
31.7% | -54.7% | 0.91 | 0.58 | 9.1x | 5 | 42% |
| SMA 크로스오버 fast=15, slow=214 |
31.6% | -54.7% | 0.90 | 0.58 | 9.0x | 9 | 41% |
| Supertrend period=5, mult=2.3 |
31.1% | -53.8% | 0.89 | 0.58 | 8.7x | 68 | 52% |
| ROC 모멘텀 n=137, threshold=0.14 |
27.1% | -54.7% | 0.83 | 0.50 | 6.8x | 29 | 32% |
| Donchian 채널 돌파 entryN=32, exitN=17 |
25.5% | -54.8% | 0.80 | 0.46 | 6.1x | 32 | 38% |
| MACD fast=17, slow=53, signal=13 |
24.6% | -56.1% | 0.80 | 0.44 | 5.8x | 90 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
17.8% | -59.8% | 0.63 | 0.30 | 3.7x | 96 | 48% |
| Buy and hold | 20.4% | -64.9% | 0.63 | 0.31 | 4.4x | 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, 37-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)