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 31.5%, MDD -51.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 34.4%, drawdown -72.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.1%, MDD -26.0%, Sharpe 0.98, 8% exposure.
CAGR reference leader: Supertrend — CAGR 33.4%, MDD -61.9%, exposure 45%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.3%p lower than buy and hold, while drawdown improves by 46.4%p (CAGR 31.5%, MDD -51.4%, exposure 51%).
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 |
24.1% | -26.0% | 0.98 | 0.93 | 6.6x | 12 | 8% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=3.3 |
28.2% | -43.7% | 0.88 | 0.64 | 8.7x | 20 | 23% |
| Supertrend period=19, mult=1.6 |
33.4% | -61.9% | 0.87 | 0.54 | 12.3x | 128 | 45% |
| Donchian 채널 돌파 entryN=106, exitN=4 |
22.6% | -39.9% | 0.85 | 0.56 | 5.9x | 24 | 10% |
| Parabolic SAR step=0.03, maxStep=0.32 |
32.8% | -67.4% | 0.85 | 0.49 | 11.9x | 220 | 48% |
| 볼린저 밴드 돌파 n=35, k=2.5 |
28.0% | -50.2% | 0.84 | 0.56 | 8.6x | 34 | 25% |
| SMA 크로스오버 fast=42, slow=66 |
31.5% | -51.4% | 0.83 | 0.61 | 10.9x | 37 | 51% |
| EMA 크로스오버 fast=23, slow=211 |
26.1% | -66.6% | 0.74 | 0.39 | 7.6x | 13 | 49% |
| ROC 모멘텀 n=143, threshold=-0.03 |
25.5% | -66.3% | 0.72 | 0.38 | 7.3x | 45 | 55% |
| MACD fast=13, slow=48, signal=7 |
20.6% | -64.1% | 0.64 | 0.32 | 5.1x | 132 | 50% |
| Buy and hold | 34.4% | -72.5% | 0.80 | 0.47 | 13.1x | 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, 14-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)