Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Songfa Ceramics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Songfa Ceramics 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 Donchian 채널 돌파 (CAGR 22.4%, MDD -50.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.5%, drawdown -76.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 20.0%, MDD -25.2%, Sharpe 1.04, 6% exposure.
CAGR reference leader: Parabolic SAR — CAGR 24.6%, MDD -76.5%, exposure 48%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.5%p lower than buy and hold, while drawdown improves by 51.7%p (CAGR 22.4%, MDD -50.9%, exposure 48%).
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=12, threshold=47 |
20.0% | -25.2% | 1.04 | 0.79 | 8.1x | 20 | 6% |
| Parabolic SAR step=0.03, maxStep=0.36 |
24.6% | -76.5% | 0.79 | 0.32 | 12.4x | 277 | 48% |
| SMA 크로스오버 fast=27, slow=81 |
22.8% | -56.2% | 0.75 | 0.41 | 10.6x | 37 | 47% |
| Donchian 채널 돌파 entryN=17, exitN=15 |
22.4% | -50.9% | 0.75 | 0.44 | 10.2x | 63 | 48% |
| 볼린저 밴드 돌파 n=27, k=2 |
18.4% | -48.1% | 0.71 | 0.38 | 6.9x | 73 | 27% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=2.4 |
16.1% | -58.8% | 0.67 | 0.27 | 5.5x | 45 | 20% |
| Supertrend period=24, mult=2.2 |
18.4% | -52.2% | 0.66 | 0.35 | 6.9x | 107 | 50% |
| EMA 크로스오버 fast=24, slow=117 |
15.9% | -72.1% | 0.59 | 0.22 | 5.4x | 23 | 44% |
| ROC 모멘텀 n=88, threshold=0.1 |
14.9% | -72.8% | 0.58 | 0.20 | 4.9x | 95 | 35% |
| MACD fast=15, slow=58, signal=32 |
11.0% | -62.7% | 0.48 | 0.18 | 3.3x | 91 | 52% |
| Buy and hold | 27.5% | -76.9% | 0.75 | 0.36 | 16.1x | 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, 12-day) is ≥ 47
- Sell — Sell when direction flips or the trend weakens (ADX < 47)