Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Li Auto, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Li Auto, Inc. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -17.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.3%, drawdown -75.1%).
Sharpe leader (same as main): Supertrend — CAGR 15.6%, MDD -47.3%, Sharpe 0.56, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 32.0%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 3.9%, MDD -17.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=1.7 |
15.6% | -47.3% | 0.56 | 0.33 | 2.1x | 74 | 46% |
| Parabolic SAR step=0.02, maxStep=0.1 |
13.2% | -49.4% | 0.51 | 0.27 | 1.9x | 82 | 44% |
| ADX / DI 방향성 period=22, threshold=31 |
3.9% | -17.8% | 0.47 | 0.22 | 1.2x | 2 | 4% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
4.1% | -22.6% | 0.45 | 0.18 | 1.2x | 4 | 6% |
| MACD fast=10, slow=49, signal=14 |
5.3% | -47.2% | 0.34 | 0.11 | 1.3x | 61 | 47% |
| ROC 모멘텀 n=121, threshold=0.12 |
0.0% | -36.7% | 0.14 | 0.00 | 1.0x | 30 | 27% |
| Donchian 채널 돌파 entryN=32, exitN=41 |
-5.5% | -64.1% | 0.09 | -0.09 | 0.8x | 16 | 53% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=23, mult=1.8 |
-2.4% | -51.1% | 0.06 | -0.05 | 0.9x | 34 | 18% |
| SMA 크로스오버 fast=49, slow=182 |
-4.9% | -45.8% | 0.00 | -0.11 | 0.8x | 6 | 37% |
| EMA 크로스오버 fast=3, slow=150 |
-8.1% | -58.6% | -0.07 | -0.14 | 0.7x | 30 | 33% |
| Buy and hold | -16.3% | -75.1% | 0.03 | -0.22 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)