Trend-Following Backtester · Guide · backtest 한국어

equity · CN

China Jushi Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of China Jushi Co., Ltd. Class A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 1999-04-22 ~ 2026-07-31daily bars 6,746 (27.3 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 17.9%, drawdown -70.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.1%, MDD -66.7%, Sharpe 0.62, 61% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=187, threshold=-0.04
17.1%-66.7%0.620.2675.0x18161%
EMA 크로스오버
fast=17, slow=201
16.5%-65.5%0.610.2564.4x4954%
볼린저 밴드 돌파
n=53, k=3.3
11.3%-41.2%0.610.2718.5x2614%
Donchian 채널 돌파
entryN=35, exitN=51
16.1%-63.6%0.600.2558.7x6565%
SMA 크로스오버
fast=56, slow=206
14.8%-66.0%0.580.2243.6x3955%
Supertrend
period=8, mult=4.5
14.5%-70.2%0.570.2140.3x8061%
ADX / DI 방향성
period=33, threshold=18
10.4%-51.6%0.520.2015.0x9826%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=25, mult=1.6
10.7%-56.9%0.490.1916.0x15841%
MACD
fast=12, slow=57, signal=15
9.3%-66.9%0.440.1411.3x33452%
Parabolic SAR
step=0.005, maxStep=0.32
5.6%-70.8%0.330.084.4x23051%
Buy and hold17.9%-70.3%0.600.2588.7x1100%
1x 10x 100x 2000 2004 2008 2012 2016 2020 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -35% -53% -70% 2000 2004 2008 2012 2016 2020 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -66.7% (2021-02-18 → 2024-09-25), recovered after 1,880 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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

Read next