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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Shaanxi Coal Industry Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Shaanxi Coal Industry Co., Ltd. Class A. 0 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 12.5%, MDD -50.6%).

Data 2014-01-28 ~ 2026-08-31daily bars 3,059 (12.6 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 15.4%, drawdown -69.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -50.6%, Sharpe 0.52, 80% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 12.5%, MDD -50.6%, exposure 80%).

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=12, exitN=53
12.5%-50.6%0.520.254.4x3780%
SMA 크로스오버
fast=47, slow=176
11.5%-55.5%0.510.214.0x1957%
Supertrend
period=9, mult=4.7
10.2%-41.9%0.470.243.4x3365%
EMA 크로스오버
fast=72, slow=145
9.0%-62.4%0.430.143.0x2365%
ADX / DI 방향성
period=37, threshold=8
8.5%-48.3%0.420.182.8x12763%
MACD
fast=13, slow=43, signal=12
8.0%-42.2%0.420.192.6x16951%
ROC 모멘텀
n=117, threshold=0.06
4.5%-63.2%0.300.071.7x12149%
Keltner 채널 돌파
emaPeriod=35, atrPeriod=25, mult=2.1
2.6%-49.5%0.230.051.4x7031%
볼린저 밴드 돌파
n=17, k=1
1.6%-54.1%0.200.031.2x20543%
Parabolic SAR
step=0.025, maxStep=0.06
-1.4%-54.5%0.10-0.030.8x19949%
Buy and hold15.4%-69.5%0.570.226.0x1100%
1x 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -35% -52% -70% 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -50.6% (2015-05-27 → 2016-02-25), recovered after 771 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 carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CN assetsAll asset reports

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