Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Jushi Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Jushi Co., Ltd. Class A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -70.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.7%, MDD -66.7%, Sharpe 0.63, 61% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=187, threshold=-0.04 |
17.7% | -66.7% | 0.63 | 0.27 | 87.0x | 181 | 61% |
| EMA 크로스오버 fast=17, slow=201 |
17.1% | -65.5% | 0.63 | 0.26 | 74.8x | 49 | 54% |
| 볼린저 밴드 돌파 n=53, k=3.3 |
11.2% | -41.2% | 0.61 | 0.27 | 18.5x | 26 | 14% |
| SMA 크로스오버 fast=56, slow=206 |
15.4% | -66.0% | 0.59 | 0.23 | 50.7x | 39 | 56% |
| Donchian 채널 돌파 entryN=35, exitN=51 |
15.6% | -63.6% | 0.59 | 0.25 | 52.6x | 66 | 65% |
| Supertrend period=8, mult=4.5 |
14.5% | -70.2% | 0.57 | 0.21 | 40.3x | 80 | 61% |
| ADX / DI 방향성 period=33, threshold=18 |
10.0% | -52.1% | 0.50 | 0.19 | 13.6x | 100 | 26% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=1.6 |
10.7% | -56.9% | 0.49 | 0.19 | 16.0x | 158 | 41% |
| MACD fast=12, slow=57, signal=15 |
8.7% | -66.9% | 0.42 | 0.13 | 9.7x | 337 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.6% | -70.8% | 0.33 | 0.08 | 4.5x | 231 | 51% |
| Buy and hold | 18.5% | -70.3% | 0.61 | 0.26 | 103.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 187-day return is greater than -4%
- Sell — Sell when the 187-day return drops to -4% or below