Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningbo Joyson Electronic Corp. Class A backtest
10 trend-following strategies were compared on the full daily history of Ningbo Joyson Electronic Corp. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -52.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.6%, drawdown -84.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.3%, MDD -56.5%, Sharpe 0.52, 35% exposure.
CAGR reference leader: MACD — CAGR 12.6%, MDD -72.7%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 12.0%, MDD -52.6%, exposure 34%).
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=34, k=1.5 |
12.3% | -56.5% | 0.52 | 0.22 | 44.8x | 224 | 35% |
| Donchian 채널 돌파 entryN=26, exitN=10 |
12.0% | -52.6% | 0.51 | 0.23 | 41.0x | 200 | 34% |
| MACD fast=12, slow=58, signal=7 |
12.6% | -72.7% | 0.51 | 0.17 | 48.4x | 536 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=15, mult=2 |
10.1% | -59.0% | 0.46 | 0.17 | 23.1x | 156 | 29% |
| Supertrend period=22, mult=2.8 |
8.6% | -79.2% | 0.41 | 0.11 | 15.0x | 246 | 45% |
| ROC 모멘텀 n=16, threshold=-0.01 |
8.1% | -86.5% | 0.39 | 0.09 | 12.7x | 800 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
7.6% | -69.9% | 0.38 | 0.11 | 11.1x | 488 | 49% |
| EMA 크로스오버 fast=10, slow=17 |
7.6% | -74.9% | 0.38 | 0.10 | 10.9x | 344 | 49% |
| ADX / DI 방향성 period=13, threshold=20 |
6.0% | -72.2% | 0.34 | 0.08 | 6.7x | 416 | 37% |
| SMA 크로스오버 fast=48, slow=133 |
1.3% | -85.7% | 0.22 | 0.02 | 1.5x | 78 | 49% |
| Buy and hold | 5.6% | -84.7% | 0.36 | 0.07 | 5.9x | 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 34-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 34-day middle average