Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jinan Shengquan Group Share Holding Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jinan Shengquan Group Share Holding Co., Ltd. Class A. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.6%, MDD -38.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.2%, drawdown -63.0%).
Sharpe leader (same as main): MACD — CAGR 13.9%, MDD -51.3%, Sharpe 0.56, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 7.6%, MDD -38.8%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=28, signal=16 |
13.9% | -51.3% | 0.56 | 0.27 | 1.9x | 51 | 49% |
| Donchian 채널 돌파 entryN=69, exitN=145 |
9.2% | -55.2% | 0.43 | 0.17 | 1.6x | 3 | 61% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=21, mult=1.9 |
7.6% | -38.8% | 0.41 | 0.19 | 1.4x | 26 | 27% |
| 볼린저 밴드 돌파 n=26, k=2.1 |
4.7% | -42.4% | 0.31 | 0.11 | 1.3x | 32 | 26% |
| Parabolic SAR step=0.01, maxStep=0.24 |
4.2% | -44.8% | 0.29 | 0.09 | 1.2x | 68 | 50% |
| SMA 크로스오버 fast=22, slow=196 |
3.7% | -55.2% | 0.28 | 0.07 | 1.2x | 11 | 47% |
| ROC 모멘텀 n=165, threshold=-0.04 |
3.2% | -55.2% | 0.27 | 0.06 | 1.2x | 65 | 53% |
| EMA 크로스오버 fast=57, slow=157 |
3.4% | -55.2% | 0.27 | 0.06 | 1.2x | 7 | 44% |
| ADX / DI 방향성 period=26, threshold=21 |
2.1% | -34.8% | 0.21 | 0.06 | 1.1x | 16 | 24% |
| Supertrend period=11, mult=2.4 |
0.1% | -64.1% | 0.18 | 0.00 | 1.0x | 49 | 51% |
| Buy and hold | 3.2% | -63.0% | 0.31 | 0.05 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/28) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line