Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tongling Nonferrous Metals Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tongling Nonferrous Metals Group Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.0%, MDD -50.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -85.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -57.0%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 10.0%, MDD -50.7%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=104 |
10.5% | -57.0% | 0.48 | 0.18 | 19.6x | 76 | 48% |
| Donchian 채널 돌파 entryN=90, exitN=78 |
10.0% | -50.7% | 0.46 | 0.20 | 17.1x | 37 | 48% |
| ROC 모멘텀 n=92, threshold=0.09 |
6.8% | -55.3% | 0.37 | 0.12 | 7.1x | 210 | 35% |
| ADX / DI 방향성 period=31, threshold=37 |
2.5% | -19.9% | 0.37 | 0.12 | 2.1x | 6 | 2% |
| EMA 크로스오버 fast=45, slow=65 |
6.6% | -62.8% | 0.36 | 0.10 | 6.6x | 79 | 48% |
| 볼린저 밴드 돌파 n=49, k=1.1 |
6.3% | -62.0% | 0.36 | 0.10 | 6.1x | 183 | 40% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=1.1 |
4.7% | -62.6% | 0.31 | 0.08 | 4.0x | 222 | 41% |
| Supertrend period=25, mult=4 |
3.1% | -81.8% | 0.25 | 0.04 | 2.5x | 134 | 47% |
| MACD fast=12, slow=25, signal=10 |
2.4% | -65.6% | 0.23 | 0.04 | 2.0x | 497 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-0.4% | -71.9% | 0.14 | -0.01 | 0.9x | 470 | 47% |
| Buy and hold | 7.6% | -85.2% | 0.39 | 0.09 | 8.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 34-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 34-day average falls below the 104-day average