Trend-Following Backtester · Guide · backtest 한국어

equity · CN

China Tungsten & Hightech Materials Co. Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of China Tungsten & Hightech Materials Co. Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -43.3%).

Data 1996-12-05 ~ 2026-07-31daily bars 7,366 (29.7 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 7.0%, drawdown -91.7%).

Sharpe leader (same as main): Supertrend — CAGR 14.5%, MDD -68.2%, Sharpe 0.57, 53% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 10.6%, MDD -43.3%, exposure 28%).

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
Supertrend
period=23, mult=2.1
14.5%-68.2%0.570.2155.2x29253%
ADX / DI 방향성
period=10, threshold=17
12.5%-74.7%0.520.1733.1x51855%
MACD
fast=13, slow=41, signal=16
12.2%-75.2%0.510.1630.0x32249%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=19, mult=3.5
10.6%-43.3%0.510.2419.6x6028%
Parabolic SAR
step=0.01, maxStep=0.08
12.2%-66.6%0.510.1830.0x30254%
ROC 모멘텀
Hold-like · Exposure 99%
n=1, threshold=-0.08
13.0%-87.7%0.500.1537.2x14599%
SMA 크로스오버
fast=59, slow=165
9.7%-71.9%0.450.1415.7x4747%
볼린저 밴드 돌파
n=50, k=1.5
9.0%-78.5%0.430.1112.9x14042%
EMA 크로스오버
fast=56, slow=171
7.6%-80.6%0.390.098.7x3553%
Donchian 채널 돌파
entryN=112, exitN=23
7.1%-81.4%0.390.097.6x5630%
Buy and hold7.0%-91.7%0.380.087.4x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -69% -92% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend
Supertrend maximum drawdown -68.2% (2016-07-29 → 2020-04-28), recovered after 3,433 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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 setupAll asset reports

Read next