Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Fosun Pharmaceutical (Group) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Fosun Pharmaceutical (Group) Co., Ltd. Class A. 1 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 8.5%, MDD -50.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -75.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -50.5%, Sharpe 0.42, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 8.5%, MDD -50.5%, exposure 54%).
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=96, exitN=87 |
8.5% | -50.5% | 0.42 | 0.17 | 9.9x | 28 | 54% |
| Supertrend period=16, mult=4.7 |
7.5% | -67.0% | 0.39 | 0.11 | 7.6x | 81 | 52% |
| EMA 크로스오버 fast=51, slow=213 |
7.1% | -58.8% | 0.38 | 0.12 | 6.9x | 32 | 51% |
| SMA 크로스오버 fast=40, slow=62 |
6.5% | -61.7% | 0.36 | 0.11 | 5.9x | 119 | 51% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
5.1% | -50.2% | 0.33 | 0.10 | 4.1x | 104 | 27% |
| ADX / DI 방향성 period=27, threshold=16 |
3.9% | -57.5% | 0.28 | 0.07 | 2.9x | 174 | 34% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=1.3 |
3.7% | -58.4% | 0.27 | 0.06 | 2.7x | 192 | 39% |
| ROC 모멘텀 n=96, threshold=-0.04 |
2.7% | -69.9% | 0.25 | 0.04 | 2.1x | 296 | 60% |
| MACD fast=16, slow=46, signal=13 |
1.6% | -67.2% | 0.20 | 0.02 | 1.6x | 368 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-0.1% | -70.3% | 0.14 | -0.00 | 1.0x | 472 | 48% |
| Buy and hold | 7.8% | -75.8% | 0.39 | 0.10 | 8.2x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 87 days