Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Hunan Silver Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Hunan Silver Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.3%, MDD -48.1%).

Data 2014-01-28 ~ 2026-07-31daily bars 3,038 (12.5 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 2.9%, drawdown -92.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -59.8%, Sharpe 0.52, 50% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 13.3%, MDD -65.4%, exposure 79%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 7.3%, MDD -48.1%, exposure 20%).

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
ROC 모멘텀
n=100, threshold=0.01
12.9%-59.8%0.520.224.6x7850%
Donchian 채널 돌파
entryN=13, exitN=78
13.3%-65.4%0.510.204.8x3479%
ADX / DI 방향성
period=32, threshold=16
10.7%-57.9%0.470.183.6x5240%
볼린저 밴드 돌파
n=40, k=1.5
9.9%-55.3%0.460.183.3x7034%
Supertrend
period=8, mult=5
10.5%-70.7%0.460.153.5x3265%
SMA 크로스오버
fast=18, slow=205
8.7%-59.8%0.420.152.8x2449%
Keltner 채널 돌파
emaPeriod=32, atrPeriod=17, mult=3.5
7.3%-48.1%0.410.152.4x3220%
Parabolic SAR
step=0.03, maxStep=0.12
7.7%-68.6%0.390.112.5x25746%
EMA 크로스오버
fast=55, slow=119
7.6%-59.8%0.390.132.5x2049%
MACD
fast=10, slow=45, signal=8
7.6%-65.0%0.390.122.5x21549%
Buy and hold2.9%-92.7%0.310.031.4x1100%
1x 10x 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -46% -70% -93% 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파ROC 모멘텀
ROC 모멘텀 maximum drawdown -59.8% (2026-01-29 → 2026-06-08), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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

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