Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Jinmao Holdings Group Limited backtest
10 trend-following strategies were compared on the full daily history of China Jinmao Holdings Group Limited. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -23.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.2%, drawdown -92.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.6%, MDD -59.6%, Sharpe 0.41, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 1.3%, MDD -23.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.38 |
8.6% | -59.6% | 0.41 | 0.14 | 4.8x | 131 | 47% |
| Supertrend period=22, mult=3.3 |
5.1% | -68.8% | 0.32 | 0.07 | 2.6x | 88 | 47% |
| MACD fast=30, slow=42, signal=23 |
4.1% | -89.0% | 0.29 | 0.05 | 2.2x | 144 | 47% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=9, mult=1.6 |
3.6% | -70.9% | 0.27 | 0.05 | 2.0x | 126 | 24% |
| ADX / DI 방향성 period=20, threshold=49 |
1.3% | -23.7% | 0.24 | 0.06 | 1.3x | 2 | 1% |
| 볼린저 밴드 돌파 n=25, k=1.6 |
2.5% | -75.1% | 0.23 | 0.03 | 1.6x | 164 | 30% |
| SMA 크로스오버 fast=25, slow=203 |
1.0% | -57.1% | 0.19 | 0.02 | 1.2x | 36 | 45% |
| ROC 모멘텀 n=8, threshold=0.11 |
0.5% | -63.2% | 0.14 | 0.01 | 1.1x | 236 | 9% |
| EMA 크로스오버 fast=48, slow=108 |
-1.0% | -57.9% | 0.13 | -0.02 | 0.8x | 40 | 45% |
| Donchian 채널 돌파 entryN=25, exitN=10 |
-2.8% | -85.5% | 0.05 | -0.03 | 0.6x | 116 | 30% |
| Buy and hold | -2.2% | -92.1% | 0.21 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots