Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Kingshine Electronic Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Kingshine Electronic Technology 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 Keltner 채널 돌파 (CAGR 30.6%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.7%, drawdown -88.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 38.1%, MDD -43.7%, Sharpe 1.08, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 31.4%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 30.6%, MDD -33.0%, exposure 22%).
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=21 |
38.1% | -43.7% | 1.08 | 0.87 | 6.4x | 4 | 18% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=2.8 |
30.6% | -33.0% | 0.88 | 0.92 | 4.6x | 10 | 22% |
| 볼린저 밴드 돌파 n=51, k=2.6 |
29.4% | -40.9% | 0.85 | 0.72 | 4.4x | 12 | 24% |
| ROC 모멘텀 n=82, threshold=0.12 |
30.5% | -59.8% | 0.84 | 0.51 | 4.6x | 21 | 29% |
| EMA 크로스오버 fast=13, slow=215 |
28.8% | -59.8% | 0.82 | 0.48 | 4.3x | 9 | 29% |
| Supertrend period=28, mult=2.5 |
29.6% | -59.1% | 0.80 | 0.50 | 4.4x | 46 | 44% |
| Donchian 채널 돌파 entryN=143, exitN=50 |
23.9% | -52.5% | 0.78 | 0.45 | 3.4x | 4 | 18% |
| SMA 크로스오버 fast=18, slow=216 |
25.8% | -59.8% | 0.76 | 0.43 | 3.7x | 7 | 34% |
| Parabolic SAR step=0.03, maxStep=0.16 |
16.8% | -71.3% | 0.57 | 0.24 | 2.4x | 136 | 49% |
| MACD fast=6, slow=45, signal=12 |
11.1% | -68.9% | 0.46 | 0.16 | 1.8x | 106 | 52% |
| Buy and hold | 6.7% | -88.8% | 0.42 | 0.08 | 1.5x | 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 ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)