Trend-Following Backtester · Guide · backtest 한국어
equity · HK
KunLun Energy Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of KunLun Energy Co. Ltd.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.9%, MDD -55.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.9%, drawdown -82.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.9%, MDD -55.8%, Sharpe 0.51, 31% exposure.
CAGR reference leader: MACD — CAGR 11.0%, MDD -66.0%, exposure 51%.
Return/drawdown alternative: Supertrend — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 9.9%, MDD -55.1%, exposure 50%).
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=17 |
9.9% | -55.8% | 0.51 | 0.18 | 12.3x | 163 | 31% |
| MACD fast=29, slow=45, signal=23 |
11.0% | -66.0% | 0.51 | 0.17 | 16.0x | 199 | 51% |
| Supertrend period=9, mult=3.5 |
9.9% | -55.1% | 0.47 | 0.18 | 12.4x | 115 | 50% |
| 볼린저 밴드 돌파 n=23, k=3.2 |
5.8% | -28.1% | 0.45 | 0.21 | 4.4x | 48 | 10% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=28, mult=3.2 |
5.6% | -36.8% | 0.40 | 0.15 | 4.2x | 72 | 14% |
| Donchian 채널 돌파 entryN=40, exitN=61 |
7.2% | -74.7% | 0.38 | 0.10 | 6.3x | 59 | 63% |
| EMA 크로스오버 fast=19, slow=183 |
6.6% | -72.8% | 0.37 | 0.09 | 5.4x | 60 | 53% |
| SMA 크로스오버 fast=15, slow=158 |
6.0% | -78.7% | 0.35 | 0.08 | 4.8x | 78 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.3% | -83.5% | 0.32 | 0.06 | 3.9x | 195 | 49% |
| ROC 모멘텀 n=149, threshold=0.01 |
3.2% | -75.7% | 0.26 | 0.04 | 2.3x | 226 | 52% |
| Buy and hold | 7.9% | -82.3% | 0.39 | 0.10 | 7.5x | 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, 23-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)