Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chongyi Zhangyuan Tungsten Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chongyi Zhangyuan Tungsten 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 7.8%, MDD -40.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.1%, drawdown -84.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.8%, MDD -40.6%, Sharpe 0.48, 10% exposure.
CAGR reference leader: MACD — CAGR 10.7%, MDD -62.9%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 7.8%, MDD -40.6%, exposure 10%).
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=34, threshold=27 |
7.8% | -40.6% | 0.48 | 0.19 | 3.4x | 14 | 10% |
| MACD fast=10, slow=62, signal=18 |
10.7% | -62.9% | 0.47 | 0.17 | 5.3x | 178 | 51% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=26, mult=1.7 |
7.6% | -56.8% | 0.40 | 0.13 | 3.3x | 96 | 25% |
| 볼린저 밴드 돌파 n=52, k=1.1 |
7.4% | -57.5% | 0.39 | 0.13 | 3.2x | 90 | 36% |
| Parabolic SAR step=0.015, maxStep=0.36 |
7.2% | -66.9% | 0.38 | 0.11 | 3.1x | 254 | 47% |
| Donchian 채널 돌파 entryN=54, exitN=74 |
6.4% | -63.6% | 0.36 | 0.10 | 2.8x | 24 | 48% |
| Supertrend period=29, mult=1.5 |
6.0% | -67.3% | 0.35 | 0.09 | 2.6x | 256 | 44% |
| ROC 모멘텀 n=89, threshold=0.03 |
5.8% | -69.4% | 0.34 | 0.08 | 2.5x | 144 | 41% |
| SMA 크로스오버 fast=76, slow=86 |
5.3% | -76.9% | 0.33 | 0.07 | 2.3x | 78 | 45% |
| EMA 크로스오버 fast=10, slow=85 |
4.7% | -77.9% | 0.31 | 0.06 | 2.1x | 68 | 44% |
| Buy and hold | 4.1% | -84.3% | 0.33 | 0.05 | 1.9x | 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, 34-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)