Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sinomine Resource Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sinomine Resource Group Co., Ltd. Class A. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.5%, drawdown -68.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.7%, MDD -51.0%, Sharpe 0.62, 52% exposure.
CAGR reference leader: Supertrend — CAGR 17.9%, MDD -54.0%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=23, threshold=12 |
17.7% | -51.0% | 0.62 | 0.35 | 6.6x | 112 | 52% |
| Supertrend period=8, mult=3.4 |
17.9% | -54.0% | 0.62 | 0.33 | 6.7x | 60 | 53% |
| SMA 크로스오버 fast=53, slow=126 |
16.2% | -52.0% | 0.59 | 0.31 | 5.7x | 26 | 52% |
| ROC 모멘텀 n=118, threshold=0.08 |
14.4% | -48.6% | 0.56 | 0.30 | 4.7x | 90 | 44% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=0.9 |
14.3% | -67.6% | 0.55 | 0.21 | 4.7x | 98 | 45% |
| Donchian 채널 돌파 entryN=108, exitN=71 |
13.1% | -54.6% | 0.53 | 0.24 | 4.2x | 16 | 44% |
| Parabolic SAR step=0.015, maxStep=0.14 |
10.9% | -72.2% | 0.47 | 0.15 | 3.3x | 192 | 50% |
| 볼린저 밴드 돌파 n=40, k=1.2 |
10.5% | -63.1% | 0.46 | 0.17 | 3.2x | 80 | 42% |
| EMA 크로스오버 fast=16, slow=204 |
10.6% | -65.2% | 0.46 | 0.16 | 3.2x | 26 | 51% |
| MACD fast=19, slow=59, signal=15 |
10.3% | -60.3% | 0.45 | 0.17 | 3.1x | 104 | 50% |
| Buy and hold | 24.5% | -68.1% | 0.68 | 0.36 | 12.6x | 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, 23-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)