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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Guangxi Huaxi Nonferrous Metal Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Guangxi Huaxi Nonferrous Metal Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -54.0%).

Data 2000-07-12 ~ 2026-08-31daily bars 6,448 (26.1 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

9 of 10 beat buy and hold (CAGR 6.6%, drawdown -83.4%).

Sharpe leader (same as main): Supertrend — CAGR 13.9%, MDD -55.1%, Sharpe 0.57, 53% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 8.5%, MDD -54.0%, exposure 42%).

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
Supertrend
period=7, mult=2
13.9%-55.1%0.570.2530.2x27553%
Donchian 채널 돌파
entryN=19, exitN=57
11.4%-71.7%0.480.1616.7x7569%
Keltner 채널 돌파
emaPeriod=35, atrPeriod=29, mult=0.7
8.5%-54.0%0.420.168.5x29042%
볼린저 밴드 돌파
n=32, k=0.9
8.5%-55.5%0.420.158.4x26243%
MACD
fast=13, slow=55, signal=12
7.5%-68.1%0.390.116.6x35153%
SMA 크로스오버
fast=11, slow=94
7.6%-73.6%0.390.106.8x10050%
EMA 크로스오버
fast=7, slow=22
7.3%-64.6%0.380.116.4x27751%
ADX / DI 방향성
period=15, threshold=11
6.7%-69.3%0.360.105.5x42953%
Parabolic SAR
step=0.005, maxStep=0.18
6.6%-63.5%0.360.105.3x19750%
ROC 모멘텀
n=146, threshold=-0.03
6.3%-75.4%0.350.085.0x19656%
Buy and hold6.6%-83.4%0.370.085.3x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 SupertrendBuy and hold
Supertrend: 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 holdSupertrend
Supertrend maximum drawdown -55.1% (2016-05-04 → 2021-05-24), recovered after 1,960 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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 setupMore CN assetsAll asset reports

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