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. 9 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 7.3%, MDD -42.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.1%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -42.5%, Sharpe 0.44, 16% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 7.3%, MDD -42.5%, exposure 16%).
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=90, exitN=12 |
7.3% | -42.5% | 0.44 | 0.17 | 3.7x | 40 | 16% |
| SMA 크로스오버 fast=25, slow=193 |
6.9% | -55.6% | 0.37 | 0.12 | 3.4x | 30 | 46% |
| 볼린저 밴드 돌파 n=45, k=1 |
5.0% | -69.8% | 0.32 | 0.07 | 2.5x | 128 | 37% |
| EMA 크로스오버 fast=33, slow=122 |
4.7% | -71.1% | 0.31 | 0.07 | 2.3x | 40 | 46% |
| MACD fast=27, slow=72, signal=26 |
4.3% | -81.9% | 0.29 | 0.05 | 2.2x | 124 | 51% |
| ADX / DI 방향성 period=19, threshold=28 |
3.9% | -52.6% | 0.29 | 0.07 | 2.0x | 50 | 14% |
| Supertrend period=32, mult=3.5 |
2.5% | -61.1% | 0.23 | 0.04 | 1.6x | 90 | 41% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=2.9 |
2.4% | -63.8% | 0.22 | 0.04 | 1.5x | 54 | 24% |
| ROC 모멘텀 n=44, threshold=-0.04 |
1.4% | -81.1% | 0.21 | 0.02 | 1.3x | 282 | 59% |
| Parabolic SAR step=0.03, maxStep=0.22 |
-5.7% | -86.4% | -0.05 | -0.07 | 0.3x | 460 | 48% |
| Buy and hold | 0.1% | -83.4% | 0.23 | 0.00 | 1.0x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 12 days