Trend-Following Backtester · Guide · backtest 한국어
equity · CN
JCET Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of JCET Group 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 Supertrend (CAGR 16.6%, MDD -52.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.9%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.8%, MDD -69.7%, Sharpe 0.65, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 6.2%p (CAGR 16.6%, MDD -52.2%, exposure 47%).
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=103, exitN=77 |
18.8% | -69.7% | 0.65 | 0.27 | 54.3x | 19 | 53% |
| MACD fast=14, slow=29, signal=17 |
18.0% | -55.2% | 0.64 | 0.33 | 46.0x | 278 | 50% |
| Supertrend period=28, mult=2 |
16.6% | -52.2% | 0.62 | 0.32 | 35.0x | 258 | 47% |
| SMA 크로스오버 fast=52, slow=205 |
17.1% | -72.7% | 0.60 | 0.23 | 38.4x | 19 | 57% |
| EMA 크로스오버 fast=100, slow=147 |
15.1% | -64.4% | 0.56 | 0.23 | 25.9x | 19 | 57% |
| Parabolic SAR step=0.015, maxStep=0.16 |
13.6% | -56.5% | 0.54 | 0.24 | 19.1x | 362 | 49% |
| ROC 모멘텀 n=131, threshold=0.02 |
12.0% | -78.6% | 0.49 | 0.15 | 13.7x | 139 | 55% |
| ADX / DI 방향성 period=39, threshold=10 |
9.9% | -67.1% | 0.45 | 0.15 | 9.0x | 190 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=1.1 |
9.6% | -56.5% | 0.44 | 0.17 | 8.4x | 158 | 45% |
| 볼린저 밴드 돌파 n=32, k=2.1 |
8.1% | -55.3% | 0.42 | 0.15 | 6.1x | 136 | 30% |
| Buy and hold | 12.9% | -75.9% | 0.50 | 0.17 | 16.5x | 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 103 days
- Sell — Sell when price breaks below the lowest low of the last 77 days