Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Yunnan Copper Co. Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Yunnan Copper Co. Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.4%, MDD -42.5%).

Data 1998-06-02 ~ 2026-07-31daily bars 6,978 (28.2 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 5.4%, drawdown -92.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.4%, MDD -42.5%, Sharpe 0.75, 17% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 17.1%, MDD -61.7%, exposure 32%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR 16.4%, MDD -42.5%, exposure 17%).

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=48, k=3.4
16.4%-42.5%0.750.3972.0x4217%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=24, mult=3.6
15.8%-45.5%0.710.3561.9x6019%
Donchian 채널 돌파
entryN=72, exitN=30
17.1%-61.7%0.690.2885.6x5632%
ADX / DI 방향성
period=33, threshold=18
12.5%-66.3%0.570.1927.4x7026%
Supertrend
period=26, mult=4.9
13.5%-62.2%0.560.2235.0x7642%
SMA 크로스오버
fast=6, slow=45
13.1%-69.9%0.550.1932.4x20446%
EMA 크로스오버
fast=13, slow=21
12.6%-78.2%0.530.1628.3x22647%
ROC 모멘텀
n=101, threshold=0.16
11.3%-65.4%0.520.1720.5x16228%
MACD
fast=21, slow=34, signal=16
6.4%-81.0%0.360.085.8x30351%
Parabolic SAR
step=0.005, maxStep=0.24
5.9%-70.0%0.340.085.0x21847%
Buy and hold5.4%-92.7%0.340.064.4x1100%
1x 10x 100x 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -46% -70% -93% 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -42.5% (1999-08-02 → 2003-12-29), recovered after 2,433 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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