Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chifeng Jilong Gold Mining Group Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Chifeng Jilong Gold Mining Group Limited Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.7%, MDD -23.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.5%, drawdown -81.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.7%, MDD -23.5%, Sharpe 1.01, 3% exposure.
CAGR reference leader: MACD — CAGR 18.0%, MDD -55.7%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 58.3%p (CAGR 11.7%, MDD -23.5%, exposure 3%).
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=16, k=3.4 |
11.7% | -23.5% | 1.01 | 0.50 | 11.8x | 14 | 3% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=10, mult=4 |
11.9% | -30.8% | 0.79 | 0.39 | 12.5x | 24 | 6% |
| MACD fast=23, slow=53, signal=6 |
18.0% | -55.7% | 0.66 | 0.32 | 41.0x | 301 | 52% |
| Donchian 채널 돌파 entryN=104, exitN=7 |
12.6% | -36.3% | 0.66 | 0.35 | 14.4x | 59 | 13% |
| Supertrend period=14, mult=2.9 |
14.9% | -76.9% | 0.58 | 0.19 | 22.4x | 169 | 50% |
| ADX / DI 방향성 period=10, threshold=21 |
13.9% | -53.3% | 0.57 | 0.26 | 18.4x | 341 | 41% |
| ROC 모멘텀 n=127, threshold=0.13 |
13.1% | -63.2% | 0.55 | 0.21 | 15.6x | 133 | 38% |
| Parabolic SAR step=0.01, maxStep=0.22 |
12.9% | -57.9% | 0.53 | 0.22 | 15.1x | 259 | 46% |
| SMA 크로스오버 fast=38, slow=157 |
11.8% | -62.1% | 0.50 | 0.19 | 12.2x | 41 | 49% |
| EMA 크로스오버 fast=6, slow=91 |
11.6% | -65.9% | 0.49 | 0.18 | 11.7x | 115 | 47% |
| Buy and hold | 11.5% | -81.8% | 0.47 | 0.14 | 11.5x | 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 16-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 16-day middle average