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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Shanjin International Gold Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Shanjin International Gold Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.5%, MDD -63.7%).

Data 2000-06-08 ~ 2026-08-31daily bars 6,472 (26.2 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-08-31

Results by strategy

4 of 10 beat buy and hold (CAGR 10.9%, drawdown -83.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -66.5%, Sharpe 0.55, 72% exposure.

Return/drawdown alternative: Supertrend — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 12.5%, MDD -63.7%, exposure 53%).

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
Donchian 채널 돌파
entryN=30, exitN=71
14.4%-66.5%0.550.2234.1x5972%
볼린저 밴드 돌파
n=42, k=1.3
12.1%-66.0%0.540.1820.2x15540%
Supertrend
period=26, mult=2
12.5%-63.7%0.530.2022.0x29153%
Parabolic SAR
step=0.01, maxStep=0.14
12.1%-66.9%0.520.1820.1x28251%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=8, mult=2.3
9.5%-69.4%0.470.1410.7x9535%
MACD
fast=15, slow=48, signal=5
10.2%-65.4%0.460.1612.7x44950%
ADX / DI 방향성
period=22, threshold=13
9.6%-72.3%0.450.1311.2x27350%
SMA 크로스오버
fast=29, slow=95
9.0%-69.0%0.430.139.6x8352%
EMA 크로스오버
fast=57, slow=96
7.7%-67.1%0.390.117.0x5255%
ROC 모멘텀
n=13, threshold=-0.02
7.2%-79.2%0.380.096.2x64163%
Buy and hold10.9%-83.3%0.460.1315.1x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -83% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -66.5% (2001-07-11 → 2005-12-08), recovered after 2,070 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CN assetsAll asset reports

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