Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hainan Jinpan Smart Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hainan Jinpan Smart Technology Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 26.1%, MDD -31.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 19.6%, drawdown -62.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.8%, MDD -35.6%, Sharpe 0.86, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 26.1%, MDD -31.0%, exposure 26%).
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=61, exitN=28 |
33.8% | -35.6% | 0.86 | 0.95 | 4.8x | 10 | 39% |
| ADX / DI 방향성 period=21, threshold=26 |
26.1% | -31.0% | 0.82 | 0.84 | 3.5x | 10 | 26% |
| SMA 크로스오버 fast=11, slow=57 |
28.7% | -45.4% | 0.76 | 0.63 | 3.9x | 26 | 55% |
| Supertrend period=16, mult=4.2 |
28.6% | -43.0% | 0.74 | 0.67 | 3.9x | 14 | 70% |
| ROC 모멘텀 n=23, threshold=0.02 |
25.4% | -54.3% | 0.72 | 0.47 | 3.4x | 90 | 48% |
| EMA 크로스오버 fast=16, slow=33 |
25.9% | -50.2% | 0.71 | 0.52 | 3.5x | 26 | 55% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=9, mult=3.6 |
16.9% | -27.4% | 0.66 | 0.61 | 2.3x | 6 | 15% |
| MACD fast=24, slow=58, signal=11 |
17.0% | -56.0% | 0.58 | 0.30 | 2.3x | 54 | 47% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
12.5% | -49.7% | 0.50 | 0.25 | 1.9x | 18 | 30% |
| Parabolic SAR step=0.015, maxStep=0.26 |
9.8% | -61.9% | 0.44 | 0.16 | 1.7x | 91 | 50% |
| Buy and hold | 19.6% | -62.2% | 0.61 | 0.32 | 2.6x | 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 61 days
- Sell — Sell when price breaks below the lowest low of the last 28 days