Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Zijin Mining Group Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Zijin Mining Group Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.7%, MDD -43.1%).

Data 2008-04-25 ~ 2026-07-31daily bars 4,438 (18.3 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 7.2%, drawdown -78.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -50.6%, Sharpe 0.60, 40% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 12.7%, MDD -43.1%, exposure 36%).

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
Donchian 채널 돌파
entryN=75, exitN=41
13.6%-50.6%0.600.2710.3x2840%
Keltner 채널 돌파
emaPeriod=34, atrPeriod=28, mult=1.2
12.7%-43.1%0.590.298.9x14136%
SMA 크로스오버
fast=18, slow=37
12.6%-52.1%0.550.248.7x11349%
EMA 크로스오버
fast=14, slow=40
12.0%-58.8%0.540.208.0x9949%
Parabolic SAR
step=0.01, maxStep=0.28
11.7%-50.8%0.530.237.5x20347%
볼린저 밴드 돌파
n=52, k=2.4
9.2%-51.8%0.500.185.0x5426%
Supertrend
period=23, mult=4.1
10.0%-63.4%0.470.165.7x7154%
ADX / DI 방향성
period=17, threshold=13
9.3%-58.2%0.450.165.0x25352%
MACD
fast=12, slow=30, signal=10
7.6%-50.2%0.400.153.8x28551%
ROC 모멘텀
n=99, threshold=0.02
5.6%-69.0%0.340.082.7x20847%
Buy and hold7.2%-78.4%0.380.093.5x1100%
1x 10x 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -78% 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -50.6% (2021-02-22 → 2022-11-21), recovered after 1,676 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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