Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenghe Resources Holding Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenghe Resources Holding Co., Ltd. Class A. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.5%, MDD -45.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.6%, drawdown -74.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.4%, MDD -55.6%, Sharpe 0.73, 25% exposure.
CAGR reference leader: MACD — CAGR 20.8%, MDD -69.3%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 16.5%, MDD -45.6%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=2.5 |
19.4% | -55.6% | 0.73 | 0.35 | 60.8x | 62 | 25% |
| MACD fast=19, slow=37, signal=11 |
20.8% | -69.3% | 0.70 | 0.30 | 80.0x | 266 | 52% |
| Donchian 채널 돌파 entryN=48, exitN=12 |
17.6% | -50.0% | 0.68 | 0.35 | 42.9x | 86 | 26% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=12, mult=2.9 |
16.5% | -45.6% | 0.66 | 0.36 | 34.2x | 68 | 20% |
| Supertrend period=26, mult=3.6 |
17.1% | -67.7% | 0.62 | 0.25 | 39.1x | 118 | 44% |
| ADX / DI 방향성 period=18, threshold=19 |
16.5% | -62.0% | 0.62 | 0.27 | 34.7x | 182 | 35% |
| EMA 크로스오버 fast=6, slow=31 |
15.0% | -65.3% | 0.56 | 0.23 | 25.4x | 220 | 47% |
| SMA 크로스오버 fast=10, slow=40 |
12.0% | -70.2% | 0.49 | 0.17 | 13.9x | 162 | 46% |
| Parabolic SAR step=0.025, maxStep=0.34 |
9.1% | -77.2% | 0.42 | 0.12 | 7.4x | 499 | 51% |
| ROC 모멘텀 n=35, threshold=0.13 |
8.1% | -62.0% | 0.41 | 0.13 | 6.1x | 246 | 25% |
| Buy and hold | 10.6% | -74.1% | 0.46 | 0.14 | 10.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 51-day middle average