Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiang Su Etern Co.Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Jiang Su Etern Co.Ltd Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.1%, MDD -59.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 11.3%, drawdown -82.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.1%, MDD -67.4%, Sharpe 0.66, 38% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 11.1%, MDD -59.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=113, exitN=58 |
18.1% | -67.4% | 0.66 | 0.27 | 120.9x | 30 | 38% |
| Supertrend period=22, mult=4.4 |
15.4% | -68.4% | 0.58 | 0.23 | 62.6x | 102 | 52% |
| 볼린저 밴드 돌파 n=56, k=2 |
13.5% | -63.1% | 0.56 | 0.21 | 38.1x | 104 | 32% |
| ADX / DI 방향성 period=24, threshold=13 |
13.7% | -74.9% | 0.54 | 0.18 | 41.0x | 278 | 48% |
| SMA 크로스오버 fast=10, slow=47 |
13.7% | -74.0% | 0.54 | 0.19 | 41.0x | 174 | 52% |
| ROC 모멘텀 n=119, threshold=0.01 |
13.6% | -82.1% | 0.53 | 0.17 | 39.9x | 207 | 51% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=3.8 |
11.1% | -59.7% | 0.51 | 0.19 | 21.0x | 62 | 25% |
| EMA 크로스오버 fast=54, slow=199 |
11.9% | -88.8% | 0.49 | 0.13 | 25.4x | 31 | 50% |
| MACD fast=22, slow=36, signal=21 |
6.7% | -72.8% | 0.36 | 0.09 | 6.5x | 276 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
4.5% | -78.9% | 0.30 | 0.06 | 3.6x | 228 | 49% |
| Buy and hold | 11.3% | -82.5% | 0.47 | 0.14 | 22.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 113 days
- Sell — Sell when price breaks below the lowest low of the last 58 days