Trend-Following Backtester · Guide · backtest 한국어

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Inner Mongolia Yili Industrial Group Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Inner Mongolia Yili Industrial Group Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -56.7%).

Data 1996-03-12 ~ 2026-07-31daily bars 7,558 (30.4 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 16.1%, drawdown -78.6%).

Sharpe leader (same as main): Supertrend — CAGR 12.8%, MDD -63.4%, Sharpe 0.57, 56% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 15.3%p (CAGR 12.3%, MDD -56.7%, exposure 84%).

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
Supertrend
period=9, mult=3.3
12.8%-63.4%0.570.2038.5x14956%
Keltner 채널 돌파
emaPeriod=69, atrPeriod=20, mult=2.1
10.5%-51.8%0.530.2020.7x12338%
EMA 크로스오버
fast=76, slow=109
11.6%-57.6%0.530.2028.2x4258%
ADX / DI 방향성
period=32, threshold=26
6.7%-36.1%0.520.197.3x3810%
Donchian 채널 돌파
entryN=14, exitN=74
12.3%-56.7%0.520.2234.4x7584%
볼린저 밴드 돌파
n=77, k=2.9
7.8%-50.5%0.470.159.8x5025%
SMA 크로스오버
fast=46, slow=181
9.6%-54.2%0.470.1816.3x4455%
ROC 모멘텀
n=132, threshold=-0.09
8.5%-74.5%0.420.1112.0x23175%
Parabolic SAR
step=0.005, maxStep=0.12
4.8%-68.3%0.310.074.2x23949%
MACD
fast=39, slow=50, signal=17
4.5%-64.8%0.300.073.8x26750%
Buy and hold16.1%-78.6%0.590.2092.6x1100%
1x 10x 100x 1997 2001 2005 2009 2013 2017 2021 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -79% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend
Supertrend maximum drawdown -63.4% (2007-05-29 → 2008-11-18), recovered after 875 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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