Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Inner Mongolia Dian Tou Energy Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Inner Mongolia Dian Tou Energy Corporation Limited Class A. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.5%, MDD -50.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.3%, drawdown -84.7%).
Sharpe leader (same as main): Supertrend — CAGR 14.5%, MDD -50.8%, Sharpe 0.59, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 14.5%, MDD -50.8%, exposure 55%).
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=7, mult=4.4 |
14.5% | -50.8% | 0.59 | 0.29 | 13.8x | 49 | 55% |
| SMA 크로스오버 fast=38, slow=146 |
8.5% | -54.3% | 0.43 | 0.16 | 4.9x | 30 | 48% |
| Donchian 채널 돌파 entryN=63, exitN=71 |
5.5% | -66.9% | 0.34 | 0.08 | 2.8x | 28 | 45% |
| ADX / DI 방향성 period=27, threshold=20 |
3.7% | -72.5% | 0.28 | 0.05 | 2.0x | 62 | 24% |
| ROC 모멘텀 n=98, threshold=0.1 |
3.6% | -58.2% | 0.27 | 0.06 | 2.0x | 152 | 31% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
3.5% | -65.9% | 0.27 | 0.05 | 1.9x | 105 | 35% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=1.9 |
3.3% | -56.8% | 0.26 | 0.06 | 1.9x | 101 | 28% |
| EMA 크로스오버 fast=12, slow=60 |
3.1% | -76.1% | 0.26 | 0.04 | 1.8x | 97 | 47% |
| MACD fast=19, slow=23, signal=18 |
0.7% | -67.5% | 0.18 | 0.01 | 1.1x | 245 | 50% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-1.6% | -86.1% | 0.10 | -0.02 | 0.7x | 327 | 49% |
| Buy and hold | 4.3% | -84.7% | 0.32 | 0.05 | 2.3x | 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) — 7-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)