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 12.5%, MDD -63.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.9%, drawdown -83.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -66.5%, Sharpe 0.55, 72% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 12.5%, 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 |
14.4% | -66.5% | 0.55 | 0.22 | 34.1x | 59 | 72% |
| 볼린저 밴드 돌파 n=42, k=1.3 |
12.1% | -66.0% | 0.54 | 0.18 | 20.2x | 155 | 40% |
| Supertrend period=26, mult=2 |
12.5% | -63.7% | 0.53 | 0.20 | 22.0x | 291 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
12.1% | -66.9% | 0.52 | 0.18 | 20.1x | 282 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=2.3 |
9.5% | -69.4% | 0.47 | 0.14 | 10.7x | 95 | 35% |
| MACD fast=15, slow=48, signal=5 |
10.2% | -65.4% | 0.46 | 0.16 | 12.7x | 449 | 50% |
| ADX / DI 방향성 period=22, threshold=13 |
9.6% | -72.3% | 0.45 | 0.13 | 11.2x | 273 | 50% |
| SMA 크로스오버 fast=29, slow=95 |
9.0% | -69.0% | 0.43 | 0.13 | 9.6x | 83 | 52% |
| EMA 크로스오버 fast=57, slow=96 |
7.7% | -67.1% | 0.39 | 0.11 | 7.0x | 52 | 55% |
| ROC 모멘텀 n=13, threshold=-0.02 |
7.2% | -79.2% | 0.38 | 0.09 | 6.2x | 641 | 63% |
| Buy and hold | 10.9% | -83.3% | 0.46 | 0.13 | 15.1x | 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