Trend-Following Backtester · Guide · backtest 한국어

equity · HK

JD Health International, Inc. backtest

10 trend-following strategies were compared on the full daily history of JD Health International, Inc.. 10 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 5.5%, MDD -7.3%).

Data 2020-12-08 ~ 2026-07-31daily bars 1,386 (5.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -16.7%, drawdown -89.8%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -7.3%, Sharpe 0.65, 3% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 11.8%, MDD -35.2%, exposure 23%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.2%p higher than buy and hold, while drawdown improves by 82.5%p (CAGR 5.5%, MDD -7.3%, exposure 3%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=23, threshold=34
5.5%-7.3%0.650.751.4x23%
볼린저 밴드 돌파
n=53, k=1.8
11.8%-35.2%0.540.331.9x1423%
Donchian 채널 돌파
entryN=62, exitN=56
10.8%-36.0%0.490.301.8x631%
ROC 모멘텀
n=121, threshold=0.04
10.5%-51.9%0.490.201.8x3232%
EMA 크로스오버
fast=32, slow=181
8.4%-40.9%0.430.201.6x429%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=11, mult=2.7
6.9%-32.4%0.400.211.5x1216%
SMA 크로스오버
fast=31, slow=210
6.4%-40.2%0.360.161.4x633%
Supertrend
period=21, mult=3.2
6.0%-57.5%0.350.101.4x2740%
MACD
fast=11, slow=59, signal=15
-0.0%-62.0%0.21-0.001.0x6948%
Parabolic SAR
step=0.01, maxStep=0.26
-6.1%-74.8%0.05-0.080.7x7144%
Buy and hold-16.7%-89.8%0.02-0.190.4x1100%
1x 2021 2022 2023 2024 2025 2026 볼린저 밴드 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -22% -45% -67% -90% 2021 2022 2023 2024 2025 2026 Buy and hold볼린저 밴드 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -7.3% (2025-09-15 → 2025-09-26), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next