Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.7%, MDD -29.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.0%, drawdown -73.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.4%, MDD -12.2%, Sharpe 0.66, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.7%, MDD -29.8%, exposure 29%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 60.8%p (CAGR 11.7%, MDD -29.8%, exposure 29%).
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=38, threshold=26 |
6.4% | -12.2% | 0.66 | 0.53 | 1.6x | 2 | 9% |
| ROC 모멘텀 n=149, threshold=0.12 |
11.7% | -29.8% | 0.66 | 0.39 | 2.4x | 22 | 29% |
| SMA 크로스오버 fast=40, slow=146 |
9.4% | -43.5% | 0.51 | 0.22 | 2.0x | 10 | 44% |
| EMA 크로스오버 fast=38, slow=126 |
9.2% | -48.6% | 0.50 | 0.19 | 2.0x | 12 | 41% |
| Donchian 채널 돌파 entryN=105, exitN=58 |
7.3% | -49.4% | 0.44 | 0.15 | 1.7x | 6 | 35% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=3.8 |
5.1% | -20.1% | 0.40 | 0.25 | 1.5x | 10 | 17% |
| Supertrend period=30, mult=4.4 |
6.6% | -57.3% | 0.38 | 0.12 | 1.6x | 21 | 50% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
2.3% | -45.8% | 0.22 | 0.05 | 1.2x | 31 | 20% |
| MACD fast=17, slow=39, signal=19 |
1.5% | -62.6% | 0.18 | 0.02 | 1.1x | 79 | 46% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.3% | -75.7% | -0.00 | -0.04 | 0.8x | 129 | 48% |
| Buy and hold | 11.0% | -73.0% | 0.48 | 0.15 | 2.3x | 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, 38-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)