Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Merchants Energy Shipping Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Merchants Energy Shipping Co., Ltd. Class A. 3 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 5.4%, MDD -43.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.0%, drawdown -87.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -28.4%, Sharpe 0.48, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.7%, MDD -68.3%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 59.4%p (CAGR 5.4%, MDD -43.5%, exposure 16%).
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=32, threshold=38 |
4.6% | -28.4% | 0.48 | 0.16 | 2.4x | 4 | 4% |
| SMA 크로스오버 fast=70, slow=100 |
7.7% | -68.3% | 0.40 | 0.11 | 4.3x | 62 | 47% |
| Supertrend period=8, mult=4.8 |
7.4% | -62.9% | 0.38 | 0.12 | 4.0x | 50 | 60% |
| ROC 모멘텀 n=147, threshold=-0.03 |
6.8% | -66.0% | 0.37 | 0.10 | 3.6x | 173 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=3.7 |
5.4% | -43.5% | 0.35 | 0.13 | 2.8x | 38 | 16% |
| Donchian 채널 돌파 entryN=108, exitN=76 |
4.8% | -63.3% | 0.31 | 0.08 | 2.5x | 22 | 34% |
| EMA 크로스오버 fast=57, slow=143 |
4.7% | -66.5% | 0.31 | 0.07 | 2.5x | 29 | 40% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
3.0% | -55.5% | 0.25 | 0.05 | 1.8x | 110 | 34% |
| MACD fast=16, slow=33, signal=16 |
-1.9% | -79.4% | 0.10 | -0.02 | 0.7x | 251 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.9% | -84.1% | 0.03 | -0.05 | 0.5x | 323 | 47% |
| Buy and hold | 6.0% | -87.9% | 0.36 | 0.07 | 3.1x | 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, 32-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)