Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sinomine Resource Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sinomine Resource Group Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.7%, drawdown -68.1%).
Sharpe leader (same as main): Supertrend — CAGR 17.7%, MDD -54.0%, Sharpe 0.61, 52% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3.4 |
17.7% | -54.0% | 0.61 | 0.33 | 6.7x | 60 | 52% |
| SMA 크로스오버 fast=53, slow=126 |
16.1% | -52.0% | 0.59 | 0.31 | 5.7x | 26 | 52% |
| ADX / DI 방향성 period=23, threshold=12 |
16.2% | -51.0% | 0.58 | 0.32 | 5.8x | 117 | 52% |
| ROC 모멘텀 n=118, threshold=0.08 |
14.3% | -48.6% | 0.55 | 0.29 | 4.7x | 90 | 44% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=0.9 |
14.2% | -67.6% | 0.55 | 0.21 | 4.7x | 98 | 45% |
| Donchian 채널 돌파 entryN=108, exitN=71 |
13.0% | -54.6% | 0.53 | 0.24 | 4.2x | 16 | 43% |
| MACD fast=19, slow=59, signal=15 |
11.0% | -60.3% | 0.47 | 0.18 | 3.4x | 105 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
11.0% | -72.2% | 0.47 | 0.15 | 3.4x | 194 | 50% |
| 볼린저 밴드 돌파 n=40, k=1.2 |
10.5% | -63.1% | 0.46 | 0.17 | 3.2x | 80 | 42% |
| EMA 크로스오버 fast=16, slow=204 |
10.5% | -65.2% | 0.46 | 0.16 | 3.2x | 26 | 51% |
| Buy and hold | 25.7% | -68.1% | 0.70 | 0.38 | 14.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)