Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Nonferrous Mining Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Nonferrous Mining Corp. Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -70.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -59.8%, Sharpe 0.46, 54% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=121 |
10.8% | -59.8% | 0.46 | 0.18 | 4.2x | 27 | 54% |
| ROC 모멘텀 n=99, threshold=0.05 |
10.0% | -57.7% | 0.44 | 0.17 | 3.9x | 131 | 45% |
| Donchian 채널 돌파 entryN=87, exitN=83 |
8.8% | -68.8% | 0.41 | 0.13 | 3.3x | 16 | 60% |
| EMA 크로스오버 fast=34, slow=74 |
3.1% | -61.3% | 0.28 | 0.05 | 1.5x | 36 | 54% |
| ADX / DI 방향성 period=34, threshold=17 |
3.8% | -57.0% | 0.28 | 0.07 | 1.7x | 60 | 27% |
| Parabolic SAR step=0.025, maxStep=0.36 |
0.1% | -79.2% | 0.19 | 0.00 | 1.0x | 267 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=3.5 |
-1.2% | -72.9% | 0.10 | -0.02 | 0.8x | 52 | 25% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
-0.8% | -44.3% | 0.07 | -0.02 | 0.9x | 20 | 12% |
| MACD fast=16, slow=21, signal=16 |
-5.1% | -85.6% | 0.06 | -0.06 | 0.5x | 211 | 51% |
| Supertrend period=8, mult=4.9 |
-6.5% | -89.6% | 0.05 | -0.07 | 0.4x | 89 | 62% |
| Buy and hold | 14.4% | -70.7% | 0.52 | 0.20 | 6.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 59-day average falls below the 121-day average