Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shaanxi Coal Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shaanxi Coal Industry Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -50.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -69.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -50.6%, Sharpe 0.52, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 12.5%, MDD -50.6%, exposure 80%).
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=12, exitN=53 |
12.5% | -50.6% | 0.52 | 0.25 | 4.4x | 37 | 80% |
| SMA 크로스오버 fast=47, slow=176 |
11.5% | -55.5% | 0.51 | 0.21 | 4.0x | 19 | 57% |
| Supertrend period=9, mult=4.7 |
10.2% | -41.9% | 0.47 | 0.24 | 3.4x | 33 | 65% |
| EMA 크로스오버 fast=72, slow=145 |
9.0% | -62.4% | 0.43 | 0.14 | 3.0x | 23 | 65% |
| ADX / DI 방향성 period=37, threshold=8 |
8.5% | -48.3% | 0.42 | 0.18 | 2.8x | 127 | 63% |
| MACD fast=13, slow=43, signal=12 |
8.0% | -42.2% | 0.42 | 0.19 | 2.6x | 169 | 51% |
| ROC 모멘텀 n=117, threshold=0.06 |
4.5% | -63.2% | 0.30 | 0.07 | 1.7x | 121 | 49% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=25, mult=2.1 |
2.6% | -49.5% | 0.23 | 0.05 | 1.4x | 70 | 31% |
| 볼린저 밴드 돌파 n=17, k=1 |
1.6% | -54.1% | 0.20 | 0.03 | 1.2x | 205 | 43% |
| Parabolic SAR step=0.025, maxStep=0.06 |
-1.4% | -54.5% | 0.10 | -0.03 | 0.8x | 199 | 49% |
| Buy and hold | 15.4% | -69.5% | 0.57 | 0.22 | 6.0x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 53 days