Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Copper Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Copper Co. Ltd. Class A. 10 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 16.4%, MDD -42.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.4%, drawdown -92.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.4%, MDD -42.5%, Sharpe 0.75, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.1%, MDD -61.7%, exposure 32%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR 16.4%, MDD -42.5%, exposure 17%).
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=48, k=3.4 |
16.4% | -42.5% | 0.75 | 0.39 | 72.0x | 42 | 17% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=24, mult=3.6 |
15.8% | -45.5% | 0.71 | 0.35 | 61.9x | 60 | 19% |
| Donchian 채널 돌파 entryN=72, exitN=30 |
17.1% | -61.7% | 0.69 | 0.28 | 85.6x | 56 | 32% |
| ADX / DI 방향성 period=33, threshold=18 |
12.5% | -66.3% | 0.57 | 0.19 | 27.4x | 70 | 26% |
| Supertrend period=26, mult=4.9 |
13.5% | -62.2% | 0.56 | 0.22 | 35.0x | 76 | 42% |
| SMA 크로스오버 fast=6, slow=45 |
13.1% | -69.9% | 0.55 | 0.19 | 32.4x | 204 | 46% |
| EMA 크로스오버 fast=13, slow=21 |
12.6% | -78.2% | 0.53 | 0.16 | 28.3x | 226 | 47% |
| ROC 모멘텀 n=101, threshold=0.16 |
11.3% | -65.4% | 0.52 | 0.17 | 20.5x | 162 | 28% |
| MACD fast=21, slow=34, signal=16 |
6.4% | -81.0% | 0.36 | 0.08 | 5.8x | 303 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.9% | -70.0% | 0.34 | 0.08 | 5.0x | 218 | 47% |
| Buy and hold | 5.4% | -92.7% | 0.34 | 0.06 | 4.4x | 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 48-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 48-day middle average