Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jinduicheng Molybdenum Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jinduicheng Molybdenum Co., Ltd. Class A. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -51.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.6%, drawdown -83.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -57.2%, Sharpe 0.36, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 3.1%, MDD -51.0%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=188 |
6.4% | -57.2% | 0.36 | 0.11 | 3.1x | 33 | 46% |
| 볼린저 밴드 돌파 n=45, k=1 |
5.1% | -69.8% | 0.32 | 0.07 | 2.5x | 128 | 38% |
| MACD fast=24, slow=70, signal=30 |
4.8% | -80.2% | 0.31 | 0.06 | 2.4x | 124 | 52% |
| EMA 크로스오버 fast=46, slow=80 |
4.7% | -77.1% | 0.31 | 0.06 | 2.3x | 49 | 46% |
| Donchian 채널 돌파 entryN=26, exitN=65 |
4.2% | -74.4% | 0.30 | 0.06 | 2.1x | 49 | 64% |
| ADX / DI 방향성 period=28, threshold=22 |
3.1% | -51.0% | 0.25 | 0.06 | 1.7x | 56 | 18% |
| Supertrend period=26, mult=4.1 |
1.1% | -74.9% | 0.19 | 0.01 | 1.2x | 68 | 42% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=28, mult=3.3 |
1.2% | -62.6% | 0.17 | 0.02 | 1.2x | 48 | 22% |
| ROC 모멘텀 n=83, threshold=0.09 |
0.3% | -84.2% | 0.15 | 0.00 | 1.1x | 182 | 32% |
| Parabolic SAR step=0.03, maxStep=0.22 |
-5.7% | -86.4% | -0.05 | -0.07 | 0.3x | 457 | 48% |
| Buy and hold | 0.6% | -83.4% | 0.24 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 188-day average
- Sell — Sell (to cash) when the 26-day average falls below the 188-day average