Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sino Land Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sino Land Co. Ltd.. 4 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 4.7%, MDD -30.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.7%, drawdown -82.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -30.0%, Sharpe 0.39, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -60.0%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 4.7%, MDD -30.0%, exposure 14%).
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=35, threshold=19 |
4.7% | -30.0% | 0.39 | 0.15 | 3.3x | 56 | 14% |
| SMA 크로스오버 fast=54, slow=79 |
6.0% | -60.0% | 0.36 | 0.10 | 4.8x | 100 | 53% |
| Donchian 채널 돌파 entryN=23, exitN=65 |
4.8% | -74.9% | 0.31 | 0.06 | 3.5x | 74 | 72% |
| Supertrend period=15, mult=2.6 |
4.1% | -61.5% | 0.29 | 0.07 | 2.9x | 200 | 52% |
| EMA 크로스오버 fast=59, slow=63 |
3.7% | -74.7% | 0.27 | 0.05 | 2.6x | 68 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=23, mult=1.4 |
2.7% | -77.5% | 0.23 | 0.03 | 2.0x | 188 | 41% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
1.9% | -54.8% | 0.20 | 0.03 | 1.6x | 72 | 13% |
| ROC 모멘텀 n=121, threshold=0.14 |
1.1% | -63.1% | 0.16 | 0.02 | 1.3x | 184 | 30% |
| MACD fast=21, slow=31, signal=8 |
-2.3% | -84.4% | 0.03 | -0.03 | 0.5x | 417 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-2.7% | -84.8% | 0.00 | -0.03 | 0.5x | 518 | 51% |
| Buy and hold | 3.7% | -82.9% | 0.28 | 0.04 | 2.6x | 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, 35-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)