Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.2%, MDD -48.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.3%, drawdown -77.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.7%, MDD -54.4%, Sharpe 0.80, 63% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 19.2%, MDD -48.6%, exposure 50%).
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=41, slow=425 |
22.7% | -54.4% | 0.80 | 0.42 | 114.7x | 8 | 63% |
| Supertrend period=21, mult=3.7 |
19.2% | -48.6% | 0.78 | 0.40 | 58.9x | 100 | 50% |
| EMA 크로스오버 fast=37, slow=334 |
21.8% | -54.4% | 0.78 | 0.40 | 97.3x | 10 | 63% |
| Donchian 채널 돌파 entryN=28, exitN=72 |
18.9% | -61.2% | 0.69 | 0.31 | 55.4x | 45 | 74% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=1 |
15.9% | -52.4% | 0.68 | 0.30 | 30.6x | 188 | 46% |
| 볼린저 밴드 돌파 n=54, k=1 |
14.5% | -42.6% | 0.64 | 0.34 | 23.2x | 130 | 46% |
| ROC 모멘텀 n=58, threshold=-0.06 |
15.3% | -77.2% | 0.61 | 0.20 | 27.2x | 229 | 70% |
| Parabolic SAR step=0.01, maxStep=0.36 |
11.9% | -62.4% | 0.55 | 0.19 | 13.5x | 286 | 49% |
| ADX / DI 방향성 period=37, threshold=8 |
12.3% | -55.3% | 0.55 | 0.22 | 14.7x | 236 | 56% |
| MACD fast=19, slow=23, signal=11 |
11.0% | -74.9% | 0.52 | 0.15 | 11.4x | 328 | 50% |
| Buy and hold | 17.3% | -77.9% | 0.62 | 0.22 | 40.3x | 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 41-day average price crosses above the 425-day average
- Sell — Sell (to cash) when the 41-day average falls below the 425-day average