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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Ningbo Joyson Electronic Corp. Class A backtest

10 trend-following strategies were compared on the full daily history of Ningbo Joyson Electronic Corp. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -52.6%).

Data 1993-12-06 ~ 2026-08-31daily bars 8,170 (32.7 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

9 of 10 beat buy and hold (CAGR 5.6%, drawdown -84.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.3%, MDD -56.5%, Sharpe 0.52, 35% exposure.

CAGR reference leader: MACD — CAGR 12.6%, MDD -72.7%, exposure 50%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 12.0%, MDD -52.6%, exposure 34%).

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=34, k=1.5
12.3%-56.5%0.520.2244.8x22435%
Donchian 채널 돌파
entryN=26, exitN=10
12.0%-52.6%0.510.2341.0x20034%
MACD
fast=12, slow=58, signal=7
12.6%-72.7%0.510.1748.4x53650%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=15, mult=2
10.1%-59.0%0.460.1723.1x15629%
Supertrend
period=22, mult=2.8
8.6%-79.2%0.410.1115.0x24645%
ROC 모멘텀
n=16, threshold=-0.01
8.1%-86.5%0.390.0912.7x80055%
Parabolic SAR
step=0.015, maxStep=0.12
7.6%-69.9%0.380.1111.1x48849%
EMA 크로스오버
fast=10, slow=17
7.6%-74.9%0.380.1010.9x34449%
ADX / DI 방향성
period=13, threshold=20
6.0%-72.2%0.340.086.7x41637%
SMA 크로스오버
fast=48, slow=133
1.3%-85.7%0.220.021.5x7849%
Buy and hold5.6%-84.7%0.360.075.9x1100%
1x 10x 1994 1999 2004 2009 2014 2019 2024 MACD볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -21% -42% -64% -85% 1994 1999 2004 2009 2014 2019 2024 Buy and holdMACD볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -56.5% (2003-04-10 → 2007-01-12), recovered after 1,434 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.
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