Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Kuang-Chi Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Kuang-Chi Technologies 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 29.1%, MDD -30.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 16.5%, drawdown -90.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 29.1%, MDD -30.6%, Sharpe 1.45, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 29.3%, MDD -34.0%, exposure 4%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 59.5%p (CAGR 29.1%, MDD -30.6%, exposure 3%).
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=9, threshold=62 |
29.1% | -30.6% | 1.45 | 0.95 | 43.9x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=11, mult=4 |
29.3% | -34.0% | 1.38 | 0.86 | 45.1x | 12 | 4% |
| 볼린저 밴드 돌파 n=20, k=3.3 |
25.5% | -40.4% | 1.18 | 0.63 | 29.0x | 16 | 5% |
| Donchian 채널 돌파 entryN=66, exitN=4 |
22.2% | -60.0% | 0.93 | 0.37 | 19.5x | 56 | 13% |
| Supertrend period=17, mult=2 |
26.4% | -66.2% | 0.84 | 0.40 | 32.1x | 168 | 48% |
| Parabolic SAR step=0.015, maxStep=0.2 |
26.2% | -66.9% | 0.82 | 0.39 | 31.6x | 214 | 50% |
| MACD fast=15, slow=25, signal=19 |
25.7% | -77.7% | 0.80 | 0.33 | 29.7x | 178 | 47% |
| EMA 크로스오버 fast=125, slow=157 |
24.5% | -77.4% | 0.77 | 0.32 | 25.8x | 6 | 43% |
| ROC 모멘텀 n=136, threshold=0.12 |
21.7% | -77.4% | 0.74 | 0.28 | 18.4x | 86 | 35% |
| SMA 크로스오버 fast=11, slow=22 |
17.1% | -82.9% | 0.61 | 0.21 | 10.3x | 180 | 45% |
| Buy and hold | 16.5% | -90.1% | 0.56 | 0.18 | 9.6x | 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, 9-day) is ≥ 62
- Sell — Sell when direction flips or the trend weakens (ADX < 62)