Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Huahai Pharmaceutical Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.7%, MDD -57.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.1%, drawdown -74.6%).
Sharpe leader (same as main): Supertrend — CAGR 12.5%, MDD -64.5%, Sharpe 0.54, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 9.7%, MDD -57.7%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=5 |
12.5% | -64.5% | 0.54 | 0.19 | 15.8x | 55 | 56% |
| EMA 크로스오버 fast=38, slow=57 |
9.7% | -60.9% | 0.45 | 0.16 | 8.8x | 69 | 56% |
| SMA 크로스오버 fast=10, slow=167 |
9.7% | -57.7% | 0.45 | 0.17 | 8.7x | 55 | 57% |
| ROC 모멘텀 n=84, threshold=-0.03 |
8.7% | -61.3% | 0.42 | 0.14 | 7.1x | 205 | 59% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=8, mult=2.5 |
7.3% | -58.0% | 0.40 | 0.12 | 5.1x | 82 | 34% |
| Donchian 채널 돌파 entryN=80, exitN=73 |
5.7% | -69.8% | 0.34 | 0.08 | 3.7x | 40 | 54% |
| MACD fast=19, slow=54, signal=16 |
5.1% | -76.6% | 0.32 | 0.07 | 3.2x | 233 | 51% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
3.6% | -35.9% | 0.31 | 0.10 | 2.3x | 42 | 12% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.0% | -81.9% | 0.26 | 0.04 | 2.0x | 193 | 49% |
| ADX / DI 방향성 period=22, threshold=20 |
1.9% | -58.2% | 0.20 | 0.03 | 1.5x | 152 | 28% |
| Buy and hold | 11.1% | -74.6% | 0.47 | 0.15 | 11.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)