Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Shenghe Resources Holding Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Shenghe Resources Holding Co., Ltd. Class A. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.5%, MDD -45.6%).

Data 2003-05-29 ~ 2026-07-31daily bars 5,676 (23.2 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 10.6%, drawdown -74.1%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.4%, MDD -55.6%, Sharpe 0.73, 25% exposure.

CAGR reference leader: MACD — CAGR 20.8%, MDD -69.3%, exposure 52%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 16.5%, MDD -45.6%, exposure 20%).

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
볼린저 밴드 돌파
n=51, k=2.5
19.4%-55.6%0.730.3560.8x6225%
MACD
fast=19, slow=37, signal=11
20.8%-69.3%0.700.3080.0x26652%
Donchian 채널 돌파
entryN=48, exitN=12
17.6%-50.0%0.680.3542.9x8626%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=12, mult=2.9
16.5%-45.6%0.660.3634.2x6820%
Supertrend
period=26, mult=3.6
17.1%-67.7%0.620.2539.1x11844%
ADX / DI 방향성
period=18, threshold=19
16.5%-62.0%0.620.2734.7x18235%
EMA 크로스오버
fast=6, slow=31
15.0%-65.3%0.560.2325.4x22047%
SMA 크로스오버
fast=10, slow=40
12.0%-70.2%0.490.1713.9x16246%
Parabolic SAR
step=0.025, maxStep=0.34
9.1%-77.2%0.420.127.4x49951%
ROC 모멘텀
n=35, threshold=0.13
8.1%-62.0%0.410.136.1x24625%
Buy and hold10.6%-74.1%0.460.1410.4x1100%
1x 10x 100x 2004 2007 2010 2013 2016 2019 2022 2025 MACD볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -19% -37% -56% -74% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdMACD볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -55.6% (2021-02-23 → 2024-04-23), recovered after 1,637 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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

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