Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Dazhong Mining Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Dazhong Mining 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 ADX / DI 방향성 (CAGR 29.8%, MDD -26.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 14.1%, drawdown -73.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.9%, MDD -26.6%, Sharpe 1.12, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 29.8%, MDD -26.6%, exposure 29%).
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=48, exitN=21 |
35.9% | -26.6% | 1.12 | 1.35 | 5.0x | 8 | 29% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.2 |
33.7% | -34.0% | 1.07 | 0.99 | 4.6x | 8 | 28% |
| Supertrend period=37, mult=4.2 |
29.9% | -34.3% | 0.98 | 0.87 | 3.9x | 14 | 33% |
| 볼린저 밴드 돌파 n=31, k=2.4 |
25.7% | -32.3% | 0.97 | 0.80 | 3.3x | 14 | 21% |
| SMA 크로스오버 fast=17, slow=92 |
29.9% | -34.7% | 0.97 | 0.86 | 3.9x | 10 | 33% |
| ADX / DI 방향성 period=24, threshold=23 |
29.8% | -26.6% | 0.96 | 1.12 | 3.9x | 14 | 29% |
| EMA 크로스오버 fast=10, slow=106 |
26.3% | -39.1% | 0.88 | 0.67 | 3.4x | 12 | 34% |
| ROC 모멘텀 n=118, threshold=0.1 |
25.2% | -43.1% | 0.87 | 0.59 | 3.2x | 12 | 29% |
| Parabolic SAR step=0.015, maxStep=0.22 |
19.5% | -61.7% | 0.69 | 0.32 | 2.5x | 83 | 45% |
| MACD fast=10, slow=42, signal=12 |
9.5% | -51.1% | 0.45 | 0.19 | 1.6x | 73 | 50% |
| Buy and hold | 14.1% | -73.9% | 0.52 | 0.19 | 2.0x | 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 48 days
- Sell — Sell when price breaks below the lowest low of the last 21 days