Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Joinn Laboratories (China) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Joinn Laboratories (China) Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 38.9%, drawdown -86.0%).
Sharpe leader (same as main): Supertrend — CAGR 34.6%, MDD -69.5%, Sharpe 0.96, 49% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=1.7 |
34.6% | -69.5% | 0.96 | 0.50 | 14.6x | 118 | 49% |
| ROC 모멘텀 n=125, threshold=0 |
27.0% | -49.7% | 0.79 | 0.54 | 8.6x | 31 | 58% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=1 |
23.4% | -45.7% | 0.79 | 0.51 | 6.7x | 88 | 40% |
| Parabolic SAR step=0.01, maxStep=0.3 |
25.3% | -73.2% | 0.78 | 0.35 | 7.6x | 127 | 49% |
| EMA 크로스오버 fast=52, slow=113 |
26.3% | -68.9% | 0.78 | 0.38 | 8.2x | 13 | 60% |
| SMA 크로스오버 fast=41, slow=197 |
25.3% | -64.6% | 0.77 | 0.39 | 7.6x | 9 | 56% |
| MACD fast=16, slow=56, signal=12 |
22.7% | -59.8% | 0.74 | 0.38 | 6.3x | 92 | 48% |
| Donchian 채널 돌파 entryN=65, exitN=84 |
23.6% | -60.6% | 0.72 | 0.39 | 6.7x | 9 | 61% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
13.8% | -63.9% | 0.60 | 0.22 | 3.2x | 64 | 26% |
| ADX / DI 방향성 period=12, threshold=18 |
12.0% | -74.6% | 0.49 | 0.16 | 2.8x | 155 | 46% |
| Buy and hold | 38.9% | -86.0% | 0.89 | 0.45 | 19.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)