Trend-Following Backtester · Guide · backtest 한국어
equity · CN
JCHX MINING MANAGEMENT CO LTD Class A backtest
10 trend-following strategies were compared on the full daily history of JCHX MINING MANAGEMENT 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 13.1%, MDD -37.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.9%, drawdown -73.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.1%, MDD -37.9%, Sharpe 0.60, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 35.9%p (CAGR 13.1%, MDD -37.9%, exposure 43%).
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=113, exitN=62 |
13.1% | -37.9% | 0.60 | 0.34 | 3.9x | 8 | 43% |
| EMA 크로스오버 fast=59, slow=208 |
12.8% | -39.7% | 0.55 | 0.32 | 3.8x | 11 | 50% |
| SMA 크로스오버 fast=41, slow=204 |
11.0% | -39.9% | 0.50 | 0.28 | 3.2x | 15 | 51% |
| Supertrend period=9, mult=3.1 |
7.3% | -67.3% | 0.39 | 0.11 | 2.2x | 57 | 55% |
| ADX / DI 방향성 period=28, threshold=23 |
5.8% | -30.5% | 0.38 | 0.19 | 1.9x | 22 | 21% |
| ROC 모멘텀 n=131, threshold=0.01 |
6.0% | -50.0% | 0.35 | 0.12 | 1.9x | 88 | 53% |
| 볼린저 밴드 돌파 n=53, k=1.2 |
0.4% | -54.0% | 0.16 | 0.01 | 1.0x | 71 | 42% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=21, mult=2.2 |
0.8% | -39.0% | 0.15 | 0.02 | 1.1x | 52 | 27% |
| MACD fast=18, slow=56, signal=13 |
-4.6% | -67.2% | -0.01 | -0.07 | 0.6x | 141 | 56% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-6.0% | -74.9% | -0.04 | -0.08 | 0.5x | 145 | 51% |
| Buy and hold | 14.9% | -73.9% | 0.55 | 0.20 | 4.7x | 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 113 days
- Sell — Sell when price breaks below the lowest low of the last 62 days