Trend-Following Backtester · Guide · backtest 한국어
equity · CN
JCET Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of JCET Group Co., Ltd. Class A. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.3%, MDD -52.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.5%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.5%, MDD -69.7%, Sharpe 0.66, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 6.2%p (CAGR 16.3%, MDD -52.2%, exposure 47%).
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=103, exitN=77 |
19.5% | -69.7% | 0.66 | 0.28 | 62.6x | 19 | 53% |
| MACD fast=14, slow=29, signal=17 |
17.0% | -55.2% | 0.62 | 0.31 | 38.4x | 281 | 50% |
| SMA 크로스오버 fast=52, slow=205 |
17.7% | -72.7% | 0.62 | 0.24 | 44.3x | 19 | 57% |
| Supertrend period=28, mult=2 |
16.3% | -52.2% | 0.61 | 0.31 | 33.6x | 259 | 47% |
| EMA 크로스오버 fast=100, slow=147 |
15.7% | -64.4% | 0.58 | 0.24 | 29.9x | 19 | 57% |
| Parabolic SAR step=0.015, maxStep=0.16 |
13.2% | -56.5% | 0.53 | 0.23 | 17.9x | 364 | 49% |
| ROC 모멘텀 n=131, threshold=0.02 |
12.6% | -78.6% | 0.51 | 0.16 | 15.8x | 139 | 55% |
| ADX / DI 방향성 period=39, threshold=10 |
9.6% | -67.1% | 0.44 | 0.14 | 8.5x | 193 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=1.1 |
9.0% | -56.5% | 0.43 | 0.16 | 7.5x | 160 | 45% |
| 볼린저 밴드 돌파 n=32, k=2.1 |
8.1% | -55.3% | 0.41 | 0.15 | 6.1x | 136 | 30% |
| Buy and hold | 13.5% | -75.9% | 0.51 | 0.18 | 19.0x | 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 103 days
- Sell — Sell when price breaks below the lowest low of the last 77 days