Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Zhongjin Lingnan Nonfemet Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Zhongjin Lingnan Nonfemet Co. Ltd. Class A. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.5%, MDD -56.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.3%, drawdown -87.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.9%, MDD -57.0%, Sharpe 0.56, 38% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 10.5%, MDD -56.2%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=1.1 |
12.9% | -57.0% | 0.56 | 0.23 | 36.0x | 154 | 38% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=37, mult=3.9 |
10.7% | -70.4% | 0.52 | 0.15 | 20.3x | 56 | 25% |
| Donchian 채널 돌파 entryN=38, exitN=17 |
10.5% | -56.2% | 0.49 | 0.19 | 19.1x | 118 | 35% |
| SMA 크로스오버 fast=41, slow=154 |
10.1% | -76.9% | 0.46 | 0.13 | 17.2x | 51 | 48% |
| Supertrend period=26, mult=2.7 |
9.1% | -71.3% | 0.44 | 0.13 | 13.0x | 226 | 44% |
| ROC 모멘텀 n=100, threshold=0.1 |
7.7% | -90.2% | 0.40 | 0.09 | 9.0x | 246 | 36% |
| ADX / DI 방향성 period=24, threshold=21 |
6.7% | -59.7% | 0.39 | 0.11 | 6.8x | 126 | 23% |
| EMA 크로스오버 fast=7, slow=155 |
5.8% | -90.9% | 0.34 | 0.06 | 5.2x | 118 | 47% |
| MACD fast=11, slow=49, signal=12 |
3.7% | -73.1% | 0.27 | 0.05 | 2.9x | 432 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.6% | -70.0% | 0.27 | 0.05 | 2.9x | 224 | 48% |
| Buy and hold | 7.3% | -87.4% | 0.38 | 0.08 | 8.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 54-day middle average