Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zangge Mining Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Zangge Mining Company Limited Class A. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.0%, MDD -41.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.0%, drawdown -89.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.0%, MDD -41.0%, Sharpe 0.69, 19% exposure.
CAGR reference leader: MACD — CAGR 15.2%, MDD -82.0%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 14.0%, MDD -41.0%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=2.9 |
14.0% | -41.0% | 0.69 | 0.34 | 52.6x | 56 | 19% |
| Donchian 채널 돌파 entryN=38, exitN=4 |
12.4% | -55.4% | 0.65 | 0.22 | 34.4x | 176 | 20% |
| MACD fast=21, slow=23, signal=22 |
15.2% | -82.0% | 0.61 | 0.18 | 70.7x | 324 | 51% |
| Supertrend period=23, mult=2.1 |
14.7% | -70.6% | 0.59 | 0.21 | 63.0x | 318 | 52% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=21, mult=2.3 |
11.6% | -63.8% | 0.59 | 0.18 | 27.2x | 122 | 19% |
| ADX / DI 방향성 period=39, threshold=27 |
7.7% | -51.7% | 0.56 | 0.15 | 9.4x | 22 | 7% |
| Parabolic SAR step=0.005, maxStep=0.14 |
11.8% | -80.3% | 0.52 | 0.15 | 29.1x | 220 | 49% |
| EMA 크로스오버 fast=28, slow=71 |
12.1% | -83.7% | 0.51 | 0.14 | 31.3x | 85 | 50% |
| ROC 모멘텀 n=144, threshold=0.08 |
11.2% | -75.5% | 0.50 | 0.15 | 24.5x | 210 | 42% |
| SMA 크로스오버 fast=24, slow=129 |
11.1% | -84.7% | 0.49 | 0.13 | 24.0x | 77 | 49% |
| Buy and hold | 14.0% | -89.9% | 0.52 | 0.16 | 51.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 44-day middle average