Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Zhuzhou Smelter Group Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Zhuzhou Smelter Group Co., Ltd. Class A. 10 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 20.5%, MDD -60.9%).

Data 2004-08-30 ~ 2026-07-31daily bars 5,349 (21.9 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 8.9%, drawdown -91.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.5%, MDD -60.9%, Sharpe 0.70, 44% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 20.5%, MDD -60.9%, exposure 44%).

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=68, exitN=55
20.5%-60.9%0.700.3459.7x3044%
Supertrend
period=21, mult=2.5
18.5%-66.4%0.660.2841.0x17047%
SMA 크로스오버
fast=29, slow=182
16.3%-76.4%0.600.2127.5x3948%
MACD
fast=19, slow=53, signal=17
14.8%-72.7%0.560.2020.4x19852%
볼린저 밴드 돌파
n=25, k=0.9
14.1%-71.7%0.560.2017.9x25042%
Parabolic SAR
step=0.015, maxStep=0.06
13.2%-67.2%0.530.2015.1x27649%
ROC 모멘텀
n=89, threshold=0.02
13.1%-81.0%0.520.1614.7x18350%
ADX / DI 방향성
period=36, threshold=12
12.7%-78.8%0.510.1613.7x14448%
EMA 크로스오버
fast=46, slow=81
11.5%-89.0%0.480.1310.8x4351%
Keltner 채널 돌파
emaPeriod=50, atrPeriod=24, mult=1.4
10.7%-68.4%0.470.169.3x14039%
Buy and hold8.9%-91.3%0.430.106.4x1100%
1x 10x 2005 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -68% -91% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -60.9% (2010-11-12 → 2014-04-28), recovered after 1,621 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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