Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shengda Resources Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shengda Resources Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.0%, MDD -50.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.0%, drawdown -89.2%).
Sharpe leader (same as main): Supertrend — CAGR 16.6%, MDD -75.3%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 7.0%, MDD -50.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.1 |
16.6% | -75.3% | 0.64 | 0.22 | 98.8x | 171 | 47% |
| 볼린저 밴드 돌파 n=21, k=2.5 |
13.3% | -52.6% | 0.61 | 0.25 | 42.3x | 156 | 20% |
| MACD fast=13, slow=54, signal=19 |
14.7% | -72.9% | 0.58 | 0.20 | 60.1x | 289 | 46% |
| ADX / DI 방향성 period=32, threshold=29 |
7.0% | -50.4% | 0.49 | 0.14 | 7.5x | 22 | 6% |
| EMA 크로스오버 fast=7, slow=28 |
11.5% | -74.8% | 0.49 | 0.15 | 26.2x | 248 | 52% |
| Donchian 채널 돌파 entryN=25, exitN=16 |
10.8% | -82.3% | 0.48 | 0.13 | 21.3x | 144 | 46% |
| Parabolic SAR step=0.005, maxStep=0.12 |
10.9% | -90.4% | 0.48 | 0.12 | 22.1x | 207 | 43% |
| SMA 크로스오버 fast=11, slow=44 |
10.2% | -81.0% | 0.46 | 0.13 | 18.5x | 166 | 44% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=22, mult=1.8 |
8.3% | -83.8% | 0.42 | 0.10 | 10.9x | 158 | 29% |
| ROC 모멘텀 n=145, threshold=0.08 |
2.6% | -89.4% | 0.24 | 0.03 | 2.1x | 252 | 38% |
| Buy and hold | 7.0% | -89.2% | 0.38 | 0.08 | 7.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)