Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Qinghai Salt Lake Industry Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Qinghai Salt Lake Industry Co., Ltd. Class A. 3 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 14.0%, MDD -58.4%).

Data 1997-09-04 ~ 2026-07-31daily bars 7,171 (28.9 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 11.7%, drawdown -91.6%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.2%, MDD -49.1%, Sharpe 0.45, 19% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 14.0%, MDD -58.4%, exposure 39%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 42.5%p (CAGR 14.0%, MDD -58.4%, exposure 39%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=57, k=3.1
7.2%-49.1%0.450.157.4x3819%
ROC 모멘텀
n=197, threshold=0.01
9.5%-75.9%0.410.1213.6x16153%
SMA 크로스오버
fast=29, slow=189
9.0%-56.0%0.400.1612.0x5649%
Donchian 채널 돌파
entryN=126, exitN=65
14.0%-58.4%0.360.2443.6x3439%
EMA 크로스오버
fast=58, slow=118
13.0%-69.5%0.350.1934.0x4653%
Supertrend
period=16, mult=4.6
11.8%-73.0%0.340.1625.0x8456%
ADX / DI 방향성
period=28, threshold=11
9.8%-69.2%0.300.1414.8x24851%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=28, mult=2.5
10.1%-54.4%0.300.1916.0x9632%
MACD
fast=18, slow=45, signal=15
2.4%-90.8%0.230.032.0x30350%
Parabolic SAR
step=0.01, maxStep=0.12
4.2%-86.4%0.220.053.3x32550%
Buy and hold11.7%-91.6%0.360.1324.6x1100%
1x 10x 1998 2002 2006 2010 2014 2018 2022 2026 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -46% -69% -92% 1998 2002 2006 2010 2014 2018 2022 2026 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -49.1% (2017-09-26 → 2025-07-07), recovered after 3,031 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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