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. 9 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 18.8%, MDD -41.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.4%, drawdown -74.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.9%, MDD -52.4%, Sharpe 0.74, 24% exposure.
CAGR reference leader: MACD — CAGR 20.0%, MDD -70.6%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 18.8%, MDD -41.5%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=2.5 |
19.9% | -52.4% | 0.74 | 0.38 | 68.6x | 60 | 24% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=22, mult=3 |
18.8% | -41.5% | 0.72 | 0.45 | 55.8x | 66 | 23% |
| MACD fast=14, slow=37, signal=15 |
20.0% | -70.6% | 0.68 | 0.28 | 71.1x | 270 | 53% |
| Donchian 채널 돌파 entryN=48, exitN=13 |
17.5% | -50.0% | 0.67 | 0.35 | 43.3x | 82 | 27% |
| Supertrend period=32, mult=3.6 |
17.5% | -64.4% | 0.63 | 0.27 | 43.2x | 120 | 42% |
| ADX / DI 방향성 period=17, threshold=20 |
16.2% | -60.5% | 0.61 | 0.27 | 33.0x | 196 | 34% |
| EMA 크로스오버 fast=7, slow=33 |
15.7% | -65.0% | 0.58 | 0.24 | 30.1x | 180 | 47% |
| SMA 크로스오버 fast=9, slow=37 |
15.0% | -65.7% | 0.56 | 0.23 | 26.2x | 176 | 46% |
| ROC 모멘텀 n=51, threshold=0.11 |
12.2% | -59.6% | 0.51 | 0.20 | 14.5x | 190 | 31% |
| Parabolic SAR step=0.025, maxStep=0.36 |
8.9% | -77.2% | 0.42 | 0.11 | 7.3x | 502 | 51% |
| Buy and hold | 10.4% | -74.1% | 0.45 | 0.14 | 10.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 50-day middle average