Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Tin Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Tin Co., Ltd. Class A. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.2%, MDD -56.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.0%, drawdown -90.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.5%, MDD -73.7%, Sharpe 0.51, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 11.2%, MDD -56.9%, exposure 47%).
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=14 |
12.5% | -73.7% | 0.51 | 0.17 | 22.5x | 500 | 51% |
| 볼린저 밴드 돌파 n=53, k=0.4 |
11.2% | -56.9% | 0.48 | 0.20 | 16.6x | 218 | 47% |
| Supertrend period=13, mult=3 |
10.8% | -62.0% | 0.47 | 0.17 | 15.1x | 172 | 51% |
| SMA 크로스오버 fast=48, slow=112 |
10.6% | -83.8% | 0.46 | 0.13 | 14.5x | 71 | 52% |
| Donchian 채널 돌파 entryN=119, exitN=53 |
9.7% | -77.0% | 0.45 | 0.13 | 11.6x | 32 | 37% |
| ROC 모멘텀 n=144, threshold=0.07 |
9.5% | -73.0% | 0.44 | 0.13 | 11.0x | 193 | 42% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=5, mult=3.5 |
8.1% | -75.8% | 0.42 | 0.11 | 7.8x | 44 | 21% |
| EMA 크로스오버 fast=43, slow=88 |
7.5% | -89.3% | 0.38 | 0.08 | 6.7x | 62 | 50% |
| MACD fast=14, slow=25, signal=14 |
6.2% | -62.9% | 0.35 | 0.10 | 5.0x | 368 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
4.7% | -83.3% | 0.31 | 0.06 | 3.3x | 328 | 49% |
| Buy and hold | 9.0% | -90.6% | 0.43 | 0.10 | 9.8x | 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 ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)