Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Lettall Electronic Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Lettall Electronic Co., Ltd. Class A. 5 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 33.4%, MDD -47.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 32.4%, drawdown -65.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 27.3%, MDD -32.9%, Sharpe 1.06, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 42.3%, MDD -49.2%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.1%p lower than buy and hold, while drawdown improves by 33.0%p (CAGR 33.4%, MDD -47.5%, exposure 39%).
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=38 |
27.3% | -32.9% | 1.06 | 0.83 | 6.4x | 18 | 10% |
| Supertrend period=25, mult=2.7 |
40.6% | -55.7% | 1.04 | 0.73 | 13.7x | 57 | 44% |
| SMA 크로스오버 fast=25, slow=109 |
42.3% | -49.2% | 1.02 | 0.86 | 15.0x | 13 | 51% |
| EMA 크로스오버 fast=48, slow=81 |
37.4% | -49.2% | 0.94 | 0.76 | 11.5x | 15 | 51% |
| Donchian 채널 돌파 entryN=132, exitN=50 |
33.4% | -47.5% | 0.92 | 0.70 | 9.1x | 8 | 39% |
| ROC 모멘텀 n=141, threshold=0 |
33.9% | -49.2% | 0.88 | 0.69 | 9.4x | 41 | 54% |
| Parabolic SAR step=0.015, maxStep=0.18 |
27.6% | -54.9% | 0.79 | 0.50 | 6.5x | 121 | 49% |
| 볼린저 밴드 돌파 n=53, k=2.1 |
20.9% | -48.7% | 0.70 | 0.43 | 4.3x | 32 | 31% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=14, mult=2.2 |
13.1% | -50.8% | 0.62 | 0.26 | 2.6x | 32 | 9% |
| MACD fast=19, slow=39, signal=9 |
15.5% | -60.2% | 0.56 | 0.26 | 3.0x | 112 | 55% |
| Buy and hold | 32.4% | -65.9% | 0.79 | 0.49 | 8.6x | 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 ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)