Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CIG Shanghai Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of CIG Shanghai Co., Ltd. Class A. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 33.2%, MDD -51.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 39.7%, drawdown -72.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.9%, MDD -26.0%, Sharpe 0.97, 8% exposure.
CAGR reference leader: Supertrend — CAGR 35.4%, MDD -61.9%, exposure 45%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.8%p lower than buy and hold, while drawdown improves by 46.4%p (CAGR 33.2%, MDD -51.4%, exposure 50%).
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=14, threshold=39 |
23.9% | -26.0% | 0.97 | 0.92 | 6.6x | 12 | 8% |
| Supertrend period=19, mult=1.6 |
35.4% | -61.9% | 0.90 | 0.57 | 14.4x | 129 | 45% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=3.3 |
27.9% | -43.7% | 0.88 | 0.64 | 8.7x | 20 | 22% |
| Parabolic SAR step=0.03, maxStep=0.32 |
33.7% | -67.4% | 0.86 | 0.50 | 12.9x | 223 | 48% |
| SMA 크로스오버 fast=42, slow=66 |
33.2% | -51.4% | 0.86 | 0.65 | 12.5x | 38 | 50% |
| Donchian 채널 돌파 entryN=106, exitN=4 |
22.3% | -39.9% | 0.85 | 0.56 | 5.9x | 24 | 10% |
| 볼린저 밴드 돌파 n=35, k=2.5 |
27.7% | -50.2% | 0.84 | 0.55 | 8.6x | 34 | 25% |
| EMA 크로스오버 fast=23, slow=211 |
31.2% | -66.6% | 0.82 | 0.47 | 10.9x | 13 | 50% |
| ROC 모멘텀 n=143, threshold=-0.03 |
30.5% | -66.3% | 0.80 | 0.46 | 10.5x | 45 | 55% |
| MACD fast=13, slow=48, signal=7 |
22.5% | -64.1% | 0.67 | 0.35 | 6.0x | 133 | 50% |
| Buy and hold | 39.7% | -72.5% | 0.86 | 0.55 | 18.9x | 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, 14-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)