Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Vanke Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China Vanke 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 13.2%, MDD -48.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.0%, drawdown -92.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.2%, MDD -48.7%, Sharpe 0.61, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.5%, MDD -72.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 13.2%, MDD -48.7%, exposure 19%).
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=29, threshold=23 |
13.2% | -48.7% | 0.61 | 0.27 | 81.9x | 76 | 19% |
| Donchian 채널 돌파 entryN=76, exitN=65 |
13.5% | -72.6% | 0.53 | 0.19 | 90.8x | 46 | 49% |
| SMA 크로스오버 fast=25, slow=78 |
12.7% | -76.2% | 0.52 | 0.17 | 70.2x | 110 | 46% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=3.6 |
10.1% | -56.7% | 0.49 | 0.18 | 31.1x | 68 | 16% |
| EMA 크로스오버 fast=38, slow=45 |
11.5% | -77.4% | 0.49 | 0.15 | 48.9x | 112 | 47% |
| Supertrend period=9, mult=4.5 |
11.5% | -83.3% | 0.48 | 0.14 | 48.5x | 122 | 52% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
9.6% | -70.0% | 0.45 | 0.14 | 26.4x | 100 | 25% |
| Parabolic SAR step=0.01, maxStep=0.36 |
9.9% | -72.8% | 0.44 | 0.14 | 29.2x | 428 | 48% |
| ROC 모멘텀 n=122, threshold=0.03 |
7.8% | -77.7% | 0.39 | 0.10 | 14.5x | 276 | 44% |
| MACD fast=7, slow=54, signal=19 |
7.4% | -89.4% | 0.37 | 0.08 | 12.8x | 531 | 49% |
| Buy and hold | 7.0% | -92.8% | 0.37 | 0.08 | 11.1x | 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, 29-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)