Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhongjin Gold Corp., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhongjin Gold Corp., Ltd. Class A. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.2%, MDD -43.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.1%, drawdown -84.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.2%, MDD -43.2%, Sharpe 0.76, 28% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 19.2%, MDD -43.2%, exposure 28%).
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=115, exitN=39 |
19.2% | -43.2% | 0.76 | 0.44 | 57.6x | 28 | 28% |
| SMA 크로스오버 fast=29, slow=150 |
19.1% | -61.2% | 0.69 | 0.31 | 56.4x | 50 | 48% |
| ROC 모멘텀 n=96, threshold=0.13 |
17.1% | -54.5% | 0.68 | 0.31 | 38.3x | 182 | 31% |
| Supertrend period=22, mult=2.2 |
16.6% | -71.0% | 0.64 | 0.23 | 34.2x | 233 | 46% |
| Parabolic SAR step=0.01, maxStep=0.08 |
16.0% | -55.0% | 0.62 | 0.29 | 30.7x | 257 | 48% |
| MACD fast=11, slow=51, signal=9 |
15.5% | -69.1% | 0.61 | 0.22 | 27.6x | 349 | 50% |
| EMA 크로스오버 fast=40, slow=191 |
14.7% | -63.0% | 0.57 | 0.23 | 23.6x | 37 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=2 |
13.3% | -79.8% | 0.57 | 0.17 | 17.7x | 121 | 35% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
11.2% | -79.6% | 0.52 | 0.14 | 11.6x | 89 | 31% |
| ADX / DI 방향성 period=11, threshold=33 |
7.7% | -47.3% | 0.43 | 0.16 | 5.5x | 143 | 20% |
| Buy and hold | 16.1% | -84.7% | 0.56 | 0.19 | 30.9x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 39 days