Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Shanghai Commercial & Savings Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Shanghai Commercial & Savings Bank, Ltd.. 5 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 1.9%, MDD -7.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.3%, drawdown -38.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -7.0%, Sharpe 0.49, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.3%, MDD -19.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 1.9%, MDD -7.0%, exposure 5%).
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=28, threshold=35 |
1.9% | -7.0% | 0.49 | 0.27 | 1.3x | 6 | 5% |
| SMA 크로스오버 fast=36, slow=142 |
5.3% | -19.6% | 0.46 | 0.27 | 1.9x | 23 | 49% |
| 볼린저 밴드 돌파 n=63, k=3.4 |
2.9% | -11.6% | 0.45 | 0.25 | 1.4x | 8 | 13% |
| EMA 크로스오버 fast=40, slow=122 |
4.7% | -22.4% | 0.42 | 0.21 | 1.7x | 15 | 52% |
| Donchian 채널 돌파 entryN=99, exitN=77 |
4.4% | -25.5% | 0.40 | 0.17 | 1.7x | 11 | 45% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=4 |
1.3% | -17.0% | 0.24 | 0.07 | 1.2x | 14 | 11% |
| Supertrend period=24, mult=4.8 |
1.2% | -43.2% | 0.16 | 0.03 | 1.2x | 33 | 64% |
| ROC 모멘텀 n=115, threshold=-0.04 |
0.8% | -45.6% | 0.13 | 0.02 | 1.1x | 55 | 63% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.6% | -62.6% | -0.22 | -0.06 | 0.6x | 86 | 49% |
| MACD fast=14, slow=23, signal=11 |
-6.8% | -64.2% | -0.49 | -0.11 | 0.4x | 198 | 50% |
| Buy and hold | 1.3% | -38.6% | 0.17 | 0.03 | 1.2x | 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, 28-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)