Trend-Following Backtester · Guide · backtest 한국어
equity · CN
COSCO SHIPPING Holdings Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of COSCO SHIPPING Holdings Co., Ltd. Class A. 10 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 18.3%, MDD -38.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.5%, drawdown -95.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.3%, MDD -38.2%, Sharpe 0.82, 21% exposure.
CAGR reference leader: Supertrend — CAGR 18.7%, MDD -50.1%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 18.3%, MDD -38.2%, exposure 21%).
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=11, threshold=32 |
18.3% | -38.2% | 0.82 | 0.48 | 25.0x | 113 | 21% |
| 볼린저 밴드 돌파 n=18, k=2.5 |
17.3% | -49.3% | 0.81 | 0.35 | 21.4x | 91 | 18% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=10, mult=3.1 |
17.8% | -39.5% | 0.81 | 0.45 | 23.1x | 43 | 18% |
| Supertrend period=18, mult=3.9 |
18.7% | -50.1% | 0.74 | 0.37 | 26.8x | 77 | 40% |
| Donchian 채널 돌파 entryN=51, exitN=24 |
16.0% | -48.2% | 0.69 | 0.33 | 17.3x | 45 | 29% |
| Parabolic SAR step=0.005, maxStep=0.14 |
16.2% | -71.7% | 0.65 | 0.23 | 17.7x | 139 | 46% |
| SMA 크로스오버 fast=54, slow=198 |
11.4% | -68.7% | 0.52 | 0.17 | 7.9x | 21 | 38% |
| ROC 모멘텀 n=147, threshold=0.02 |
10.6% | -55.8% | 0.49 | 0.19 | 6.9x | 101 | 39% |
| MACD fast=9, slow=37, signal=12 |
8.6% | -83.3% | 0.42 | 0.10 | 4.8x | 281 | 53% |
| EMA 크로스오버 fast=41, slow=247 |
7.1% | -75.9% | 0.39 | 0.09 | 3.7x | 19 | 33% |
| Buy and hold | 1.5% | -95.7% | 0.26 | 0.02 | 1.3x | 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, 11-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)