Trend-Following Backtester · Guide · backtest 한국어
equity · CN
GuoCheng Mining Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of GuoCheng Mining Co., Ltd. Class A. 10 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 8.7%, MDD -59.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.7%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -84.3%, Sharpe 0.50, 63% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 8.2%p (CAGR 8.7%, MDD -59.5%, exposure 32%).
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=24, exitN=23 |
13.7% | -84.3% | 0.50 | 0.16 | 44.8x | 98 | 63% |
| Supertrend period=24, mult=2.9 |
13.1% | -59.8% | 0.49 | 0.22 | 37.9x | 146 | 58% |
| 볼린저 밴드 돌파 n=25, k=1.1 |
8.7% | -59.5% | 0.44 | 0.15 | 11.7x | 264 | 32% |
| MACD fast=21, slow=45, signal=17 |
8.9% | -70.5% | 0.44 | 0.13 | 12.3x | 222 | 39% |
| EMA 크로스오버 fast=1, slow=63 |
10.5% | -72.9% | 0.43 | 0.14 | 19.0x | 304 | 59% |
| ROC 모멘텀 n=22, threshold=-0.03 |
10.6% | -88.4% | 0.43 | 0.12 | 19.4x | 490 | 69% |
| Parabolic SAR step=0.005, maxStep=0.34 |
10.4% | -63.9% | 0.43 | 0.16 | 18.4x | 168 | 58% |
| ADX / DI 방향성 period=35, threshold=13 |
10.3% | -62.6% | 0.43 | 0.16 | 18.0x | 132 | 54% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=1.1 |
10.1% | -65.9% | 0.42 | 0.15 | 17.1x | 208 | 51% |
| SMA 크로스오버 fast=14, slow=42 |
7.4% | -81.6% | 0.39 | 0.09 | 8.3x | 136 | 39% |
| Buy and hold | 6.7% | -92.5% | 0.35 | 0.07 | 6.8x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 23 days