Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Gold International Resources Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Gold International Resources Corp. Ltd.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.9%, MDD -48.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.4%, drawdown -92.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.9%, MDD -48.5%, Sharpe 0.64, 25% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.2%, MDD -57.1%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 15.9%, MDD -48.5%, exposure 25%).
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=109, exitN=30 |
15.9% | -48.5% | 0.64 | 0.33 | 10.1x | 20 | 25% |
| SMA 크로스오버 fast=10, slow=55 |
18.2% | -57.1% | 0.63 | 0.32 | 13.7x | 87 | 49% |
| Supertrend period=22, mult=5 |
17.7% | -70.5% | 0.62 | 0.25 | 12.9x | 51 | 46% |
| ADX / DI 방향성 period=32, threshold=18 |
15.2% | -59.4% | 0.61 | 0.26 | 9.2x | 52 | 26% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=17, mult=2.2 |
13.2% | -55.0% | 0.53 | 0.24 | 7.0x | 60 | 35% |
| ROC 모멘텀 n=41, threshold=-0.04 |
13.7% | -68.7% | 0.52 | 0.20 | 7.5x | 197 | 56% |
| EMA 크로스오버 fast=24, slow=28 |
12.1% | -70.3% | 0.49 | 0.17 | 6.0x | 77 | 48% |
| MACD fast=11, slow=25, signal=10 |
11.8% | -71.7% | 0.49 | 0.16 | 5.8x | 261 | 50% |
| Parabolic SAR step=0.025, maxStep=0.18 |
11.2% | -68.2% | 0.47 | 0.16 | 5.3x | 353 | 48% |
| 볼린저 밴드 돌파 n=36, k=1 |
10.4% | -67.2% | 0.46 | 0.16 | 4.7x | 139 | 37% |
| Buy and hold | 9.4% | -92.9% | 0.44 | 0.10 | 4.1x | 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 109 days
- Sell — Sell when price breaks below the lowest low of the last 30 days