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 SMA 크로스오버 (CAGR 14.1%, MDD -39.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -73.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.9%, MDD -37.9%, Sharpe 0.59, 42% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.1%, MDD -39.7%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 35.9%p (CAGR 14.1%, MDD -39.7%, exposure 55%).
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=110, exitN=63 |
12.9% | -37.9% | 0.59 | 0.34 | 3.9x | 8 | 42% |
| SMA 크로스오버 fast=23, slow=269 |
14.1% | -39.7% | 0.58 | 0.35 | 4.4x | 15 | 55% |
| EMA 크로스오버 fast=55, slow=158 |
12.5% | -40.3% | 0.53 | 0.31 | 3.8x | 15 | 52% |
| Supertrend period=8, mult=3 |
6.8% | -72.3% | 0.37 | 0.09 | 2.1x | 61 | 56% |
| ROC 모멘텀 n=122, threshold=0.02 |
6.1% | -52.2% | 0.35 | 0.12 | 1.9x | 119 | 51% |
| ADX / DI 방향성 period=25, threshold=24 |
4.9% | -35.0% | 0.34 | 0.14 | 1.7x | 26 | 21% |
| Parabolic SAR step=0.01, maxStep=0.04 |
2.8% | -49.5% | 0.25 | 0.06 | 1.4x | 106 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=21, mult=3.7 |
2.9% | -33.0% | 0.25 | 0.09 | 1.4x | 22 | 20% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
0.3% | -59.5% | 0.16 | 0.00 | 1.0x | 84 | 44% |
| MACD fast=18, slow=43, signal=16 |
-2.9% | -59.6% | 0.06 | -0.05 | 0.7x | 130 | 56% |
| Buy and hold | 14.4% | -73.9% | 0.54 | 0.19 | 4.5x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 63 days