Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Chihong Zinc & Germanium Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Chihong Zinc & Germanium Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.8%, MDD -69.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.7%, drawdown -88.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -82.6%, Sharpe 0.57, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.7%, MDD -84.0%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 5.4%p (CAGR 12.8%, MDD -69.8%, exposure 30%).
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=104, exitN=73 |
15.5% | -82.6% | 0.57 | 0.19 | 24.9x | 27 | 44% |
| SMA 크로스오버 fast=25, slow=136 |
15.7% | -84.0% | 0.57 | 0.19 | 26.0x | 51 | 50% |
| EMA 크로스오버 fast=57, slow=68 |
14.4% | -85.7% | 0.54 | 0.17 | 20.3x | 45 | 49% |
| ADX / DI 방향성 period=18, threshold=13 |
13.9% | -80.7% | 0.53 | 0.17 | 18.4x | 290 | 50% |
| 볼린저 밴드 돌파 n=59, k=2 |
12.8% | -69.8% | 0.53 | 0.18 | 14.8x | 74 | 30% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=7, mult=3.1 |
11.2% | -60.8% | 0.51 | 0.18 | 10.7x | 60 | 20% |
| ROC 모멘텀 n=109, threshold=-0.03 |
12.9% | -89.4% | 0.50 | 0.14 | 15.2x | 215 | 56% |
| Supertrend period=19, mult=2.3 |
11.4% | -67.2% | 0.48 | 0.17 | 11.2x | 223 | 45% |
| MACD fast=10, slow=53, signal=9 |
6.5% | -84.3% | 0.35 | 0.08 | 4.1x | 379 | 51% |
| Parabolic SAR step=0.02, maxStep=0.36 |
4.2% | -84.8% | 0.29 | 0.05 | 2.5x | 424 | 48% |
| Buy and hold | 12.7% | -88.1% | 0.49 | 0.14 | 14.4x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 73 days