Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Unigroup Guoxin Microelectronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Unigroup Guoxin Microelectronics 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 ADX / DI 방향성 (CAGR 16.2%, MDD -55.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.4%, drawdown -73.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.2%, MDD -55.2%, Sharpe 0.59, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 18.8%p (CAGR 16.2%, MDD -55.2%, exposure 59%).
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=47, threshold=5 |
16.2% | -55.2% | 0.59 | 0.29 | 24.2x | 164 | 59% |
| Supertrend period=3, mult=2.9 |
15.0% | -64.9% | 0.56 | 0.23 | 19.4x | 142 | 58% |
| SMA 크로스오버 fast=37, slow=42 |
13.8% | -65.3% | 0.54 | 0.21 | 15.6x | 180 | 53% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
14.7% | -68.6% | 0.54 | 0.21 | 18.3x | 57 | 84% |
| 볼린저 밴드 돌파 n=44, k=0.6 |
12.3% | -73.6% | 0.51 | 0.17 | 11.6x | 184 | 46% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=16, mult=1 |
11.7% | -56.6% | 0.50 | 0.21 | 10.6x | 132 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.7% | -60.9% | 0.49 | 0.19 | 10.6x | 160 | 51% |
| EMA 크로스오버 fast=43, slow=84 |
11.9% | -70.2% | 0.49 | 0.17 | 10.8x | 44 | 60% |
| MACD fast=15, slow=43, signal=16 |
11.0% | -71.5% | 0.48 | 0.15 | 9.2x | 244 | 51% |
| ROC 모멘텀 n=101, threshold=-0.08 |
10.4% | -68.1% | 0.45 | 0.15 | 8.2x | 173 | 69% |
| Buy and hold | 20.4% | -73.9% | 0.63 | 0.28 | 51.5x | 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, 47-day) is ≥ 5
- Sell — Sell when direction flips or the trend weakens (ADX < 5)