Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zijin Mining Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zijin Mining Group Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.7%, MDD -43.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.2%, drawdown -78.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -50.6%, Sharpe 0.60, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 12.7%, MDD -43.1%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=75, exitN=41 |
13.6% | -50.6% | 0.60 | 0.27 | 10.3x | 28 | 40% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=28, mult=1.2 |
12.7% | -43.1% | 0.59 | 0.29 | 8.9x | 141 | 36% |
| SMA 크로스오버 fast=18, slow=37 |
12.6% | -52.1% | 0.55 | 0.24 | 8.7x | 113 | 49% |
| EMA 크로스오버 fast=14, slow=40 |
12.0% | -58.8% | 0.54 | 0.20 | 8.0x | 99 | 49% |
| Parabolic SAR step=0.01, maxStep=0.28 |
11.7% | -50.8% | 0.53 | 0.23 | 7.5x | 203 | 47% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
9.2% | -51.8% | 0.50 | 0.18 | 5.0x | 54 | 26% |
| Supertrend period=23, mult=4.1 |
10.0% | -63.4% | 0.47 | 0.16 | 5.7x | 71 | 54% |
| ADX / DI 방향성 period=17, threshold=13 |
9.3% | -58.2% | 0.45 | 0.16 | 5.0x | 253 | 52% |
| MACD fast=12, slow=30, signal=10 |
7.6% | -50.2% | 0.40 | 0.15 | 3.8x | 285 | 51% |
| ROC 모멘텀 n=99, threshold=0.02 |
5.6% | -69.0% | 0.34 | 0.08 | 2.7x | 208 | 47% |
| Buy and hold | 7.2% | -78.4% | 0.38 | 0.09 | 3.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 75 days
- Sell — Sell when price breaks below the lowest low of the last 41 days