Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangxi Copper Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangxi Copper Company Limited Class A. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.2%, MDD -49.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.4%, drawdown -88.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -58.4%, Sharpe 0.62, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 14.2%, MDD -49.1%, exposure 27%).
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=50, exitN=74 |
17.6% | -58.4% | 0.62 | 0.30 | 53.0x | 37 | 55% |
| Supertrend period=9, mult=4.4 |
17.0% | -57.4% | 0.61 | 0.30 | 47.2x | 72 | 52% |
| SMA 크로스오버 fast=19, slow=153 |
16.1% | -69.3% | 0.59 | 0.23 | 38.7x | 60 | 48% |
| 볼린저 밴드 돌파 n=61, k=2.4 |
14.2% | -49.1% | 0.59 | 0.29 | 26.0x | 66 | 27% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=3 |
13.1% | -57.9% | 0.57 | 0.23 | 20.5x | 72 | 22% |
| EMA 크로스오버 fast=42, slow=49 |
14.3% | -73.4% | 0.55 | 0.19 | 26.7x | 78 | 48% |
| ROC 모멘텀 n=80, threshold=0.03 |
12.9% | -79.6% | 0.52 | 0.16 | 19.8x | 218 | 44% |
| ADX / DI 방향성 period=17, threshold=17 |
10.5% | -74.5% | 0.46 | 0.14 | 11.6x | 240 | 40% |
| Parabolic SAR step=0.01, maxStep=0.12 |
9.6% | -63.9% | 0.44 | 0.15 | 9.6x | 308 | 48% |
| MACD fast=12, slow=15, signal=10 |
4.3% | -79.9% | 0.29 | 0.05 | 2.8x | 511 | 51% |
| Buy and hold | 10.4% | -88.7% | 0.45 | 0.12 | 11.4x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 74 days