SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Jiangsu King's Luck Brewery Joint-stock Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Jiangsu King's Luck Brewery Joint-stock Co., Ltd. Class A. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.2%, MDD -35.8%).

Data 2014-07-03 ~ 2026-08-31daily bars 2,956 (12.2 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

3 of 10 beat buy and hold (CAGR 9.1%, drawdown -64.3%).

Sharpe leader (same as main): MACD — CAGR 13.8%, MDD -45.0%, Sharpe 0.60, 47% exposure.

Return/drawdown alternative: Supertrend — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 9.2%, MDD -35.8%, exposure 50%).

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
MACD
fast=18, slow=52, signal=18
13.8%-45.0%0.600.314.8x10347%
SMA 크로스오버
fast=25, slow=42
10.3%-44.8%0.480.233.3x7550%
Supertrend
period=23, mult=2.6
9.2%-35.8%0.450.262.9x9150%
Donchian 채널 돌파
entryN=16, exitN=41
8.5%-40.4%0.420.212.7x4966%
볼린저 밴드 돌파
n=33, k=1.7
7.1%-34.9%0.400.202.3x7734%
Keltner 채널 돌파
emaPeriod=15, atrPeriod=16, mult=1.8
3.9%-46.0%0.290.081.6x7420%
Parabolic SAR
step=0.025, maxStep=0.08
3.9%-51.9%0.280.081.6x21249%
EMA 크로스오버
fast=24, slow=56
3.7%-53.0%0.280.071.6x4752%
ADX / DI 방향성
period=22, threshold=39
1.4%-18.3%0.220.081.2x62%
ROC 모멘텀
n=123, threshold=0.09
-0.9%-53.2%0.11-0.020.9x9036%
Buy and hold9.1%-64.3%0.420.142.9x1100%
1x 2015 2017 2019 2021 2023 2025 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -32% -48% -64% 2015 2017 2019 2021 2023 2025 Buy and holdMACD
MACD maximum drawdown -45.0% (2019-04-04 → 2020-04-16), recovered after 985 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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 setupMore CN assetsAll asset reports

Read next