Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Ningbo Shanshan Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Ningbo Shanshan Co., Ltd. Class A. 6 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 9.4%, MDD -31.4%).

Data 1996-01-30 ~ 2026-07-31daily bars 7,588 (30.5 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 9.9%, drawdown -85.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.6%, MDD -56.1%, Sharpe 0.62, 45% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 9.4%, MDD -31.4%, exposure 7%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=33, exitN=28
16.6%-56.1%0.620.30108.7x10045%
볼린저 밴드 돌파
n=33, k=3.4
9.4%-31.4%0.610.3015.4x247%
Keltner 채널 돌파
emaPeriod=72, atrPeriod=14, mult=2.1
14.6%-52.1%0.590.2863.8x10833%
EMA 크로스오버
fast=9, slow=38
13.6%-59.2%0.540.2349.5x21249%
Supertrend
period=13, mult=3.4
12.2%-58.3%0.510.2133.3x15250%
SMA 크로스오버
fast=9, slow=60
12.4%-67.6%0.510.1835.5x18049%
ROC 모멘텀
n=164, threshold=-0.03
12.4%-65.1%0.500.1935.0x16154%
ADX / DI 방향성
period=27, threshold=18
9.4%-47.5%0.460.2015.7x14829%
MACD
fast=19, slow=33, signal=17
9.3%-72.6%0.430.1315.1x33751%
Parabolic SAR
step=0.005, maxStep=0.16
6.4%-80.2%0.350.086.6x23747%
Buy and hold9.9%-85.7%0.440.1217.7x1100%
1x 10x 100x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -86% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.1% (1998-11-12 → 2003-12-19), recovered after 2,993 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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