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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Jinan Shengquan Group Share Holding Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Jinan Shengquan Group Share Holding Co., Ltd. Class A. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.6%, MDD -38.8%).

Data 2021-08-10 ~ 2026-08-31daily bars 1,226 (5.1 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

8 of 10 beat buy and hold (CAGR 3.2%, drawdown -63.0%).

Sharpe leader (same as main): MACD — CAGR 13.9%, MDD -51.3%, Sharpe 0.56, 49% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 7.6%, MDD -38.8%, exposure 27%).

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=19, slow=28, signal=16
13.9%-51.3%0.560.271.9x5149%
Donchian 채널 돌파
entryN=69, exitN=145
9.2%-55.2%0.430.171.6x361%
Keltner 채널 돌파
emaPeriod=32, atrPeriod=21, mult=1.9
7.6%-38.8%0.410.191.4x2627%
볼린저 밴드 돌파
n=26, k=2.1
4.7%-42.4%0.310.111.3x3226%
Parabolic SAR
step=0.01, maxStep=0.24
4.2%-44.8%0.290.091.2x6850%
SMA 크로스오버
fast=22, slow=196
3.7%-55.2%0.280.071.2x1147%
ROC 모멘텀
n=165, threshold=-0.04
3.2%-55.2%0.270.061.2x6553%
EMA 크로스오버
fast=57, slow=157
3.4%-55.2%0.270.061.2x744%
ADX / DI 방향성
period=26, threshold=21
2.1%-34.8%0.210.061.1x1624%
Supertrend
period=11, mult=2.4
0.1%-64.1%0.180.001.0x4951%
Buy and hold3.2%-63.0%0.310.051.2x1100%
1x 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -32% -47% -63% 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -51.3% (2021-11-24 → 2022-10-25), recovered after 1,636 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

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