Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Eastern Shenghong Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Eastern Shenghong 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 볼린저 밴드 돌파 (CAGR 7.9%, MDD -45.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.6%, drawdown -87.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -51.7%, Sharpe 0.72, 18% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 7.9%, MDD -45.3%, exposure 14%).
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=203, exitN=28 |
14.8% | -51.7% | 0.72 | 0.29 | 36.9x | 18 | 18% |
| ADX / DI 방향성 period=32, threshold=20 |
12.9% | -54.9% | 0.64 | 0.24 | 24.1x | 66 | 20% |
| SMA 크로스오버 fast=43, slow=148 |
13.9% | -64.6% | 0.58 | 0.21 | 30.0x | 43 | 44% |
| ROC 모멘텀 n=163, threshold=0.09 |
10.5% | -74.8% | 0.49 | 0.14 | 13.7x | 135 | 32% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.9 |
9.2% | -54.8% | 0.49 | 0.17 | 9.9x | 44 | 19% |
| EMA 크로스오버 fast=62, slow=86 |
10.1% | -74.0% | 0.47 | 0.14 | 12.3x | 43 | 42% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
7.9% | -45.3% | 0.47 | 0.18 | 7.4x | 28 | 14% |
| Supertrend period=15, mult=3.8 |
7.5% | -80.8% | 0.39 | 0.09 | 6.7x | 111 | 47% |
| Parabolic SAR step=0.01, maxStep=0.08 |
4.1% | -72.7% | 0.28 | 0.06 | 2.8x | 288 | 48% |
| MACD fast=11, slow=37, signal=11 |
-0.7% | -74.8% | 0.13 | -0.01 | 0.8x | 408 | 52% |
| Buy and hold | 1.6% | -87.2% | 0.25 | 0.02 | 1.5x | 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 203 days
- Sell — Sell when price breaks below the lowest low of the last 28 days