Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanjin International Gold Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanjin International Gold Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.0%, MDD -63.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.4%, drawdown -83.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.9%, MDD -66.5%, Sharpe 0.54, 72% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 12.0%, MDD -63.7%, exposure 53%).
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=30, exitN=71 |
13.9% | -66.5% | 0.54 | 0.21 | 30.3x | 59 | 72% |
| 볼린저 밴드 돌파 n=42, k=1.3 |
11.7% | -66.0% | 0.53 | 0.18 | 17.9x | 155 | 40% |
| Supertrend period=26, mult=2 |
12.0% | -63.7% | 0.52 | 0.19 | 19.5x | 291 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
11.5% | -66.9% | 0.51 | 0.17 | 17.3x | 281 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=2.3 |
9.4% | -69.4% | 0.47 | 0.14 | 10.4x | 94 | 35% |
| MACD fast=15, slow=48, signal=5 |
9.7% | -65.4% | 0.45 | 0.15 | 11.3x | 449 | 49% |
| SMA 크로스오버 fast=29, slow=95 |
9.5% | -69.0% | 0.45 | 0.14 | 10.7x | 82 | 52% |
| ADX / DI 방향성 period=22, threshold=13 |
9.2% | -72.3% | 0.44 | 0.13 | 9.9x | 273 | 50% |
| EMA 크로스오버 fast=57, slow=96 |
7.7% | -67.1% | 0.39 | 0.12 | 7.0x | 52 | 55% |
| ROC 모멘텀 n=13, threshold=-0.02 |
6.7% | -79.2% | 0.36 | 0.09 | 5.5x | 641 | 63% |
| Buy and hold | 10.4% | -83.3% | 0.45 | 0.13 | 13.4x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 71 days