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; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.9%, MDD -48.6%).

Data 2003-06-16 ~ 2026-07-31daily bars 5,664 (23.1 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 18.0%, drawdown -77.9%).

Sharpe leader (same as main): Supertrend — CAGR 19.9%, MDD -48.6%, Sharpe 0.80, 50% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 22.8%, MDD -54.4%, exposure 63%.

Return/drawdown alternative: Supertrend — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 19.9%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=21, mult=3.7
19.9%-48.6%0.800.4166.7x9950%
SMA 크로스오버
fast=41, slow=425
22.8%-54.4%0.800.42114.7x863%
EMA 크로스오버
fast=37, slow=334
21.9%-54.4%0.780.4097.3x1064%
Donchian 채널 돌파
entryN=28, exitN=72
19.6%-59.5%0.710.3363.3x4574%
Keltner 채널 돌파
emaPeriod=42, atrPeriod=24, mult=1
16.3%-52.4%0.690.3132.9x18746%
볼린저 밴드 돌파
n=54, k=1
15.2%-42.6%0.660.3626.2x12946%
ROC 모멘텀
n=58, threshold=-0.06
16.0%-74.5%0.630.2231.1x22970%
ADX / DI 방향성
period=37, threshold=8
13.1%-55.3%0.570.2417.1x23356%
Parabolic SAR
step=0.01, maxStep=0.36
11.9%-62.4%0.550.1913.5x28650%
MACD
fast=19, slow=23, signal=11
11.1%-74.9%0.520.1511.5x32750%
Buy and hold18.0%-77.9%0.630.2346.1x1100%
1x 10x 100x 2004 2007 2010 2013 2016 2019 2022 2025 SMA 크로스오버SupertrendBuy and hold
Supertrend (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -39% -58% -78% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버Supertrend
Supertrend maximum drawdown -48.6% (2007-06-12 → 2008-11-28), recovered after 790 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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