Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sunshine Guojian Pharmaceutical (Shanghai) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sunshine Guojian Pharmaceutical (Shanghai) Co., Ltd. Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -22.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.4%, drawdown -77.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.6%, MDD -42.0%, Sharpe 0.78, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.2%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 9.4%, MDD -22.6%, exposure 10%).
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=52, slow=152 |
26.6% | -42.0% | 0.78 | 0.63 | 4.1x | 6 | 55% |
| EMA 크로스오버 fast=35, slow=212 |
20.8% | -42.0% | 0.67 | 0.49 | 3.1x | 3 | 51% |
| ROC 모멘텀 n=129, threshold=0.08 |
15.6% | -39.8% | 0.58 | 0.39 | 2.4x | 52 | 41% |
| Supertrend period=23, mult=2.3 |
14.9% | -46.7% | 0.56 | 0.32 | 2.3x | 50 | 42% |
| Donchian 채널 돌파 entryN=8, exitN=75 |
14.2% | -43.7% | 0.52 | 0.33 | 2.2x | 19 | 79% |
| ADX / DI 방향성 period=48, threshold=11 |
12.5% | -43.8% | 0.49 | 0.29 | 2.0x | 21 | 57% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=2.4 |
9.4% | -22.6% | 0.48 | 0.42 | 1.7x | 20 | 10% |
| MACD fast=16, slow=69, signal=8 |
6.9% | -47.2% | 0.37 | 0.15 | 1.5x | 84 | 46% |
| 볼린저 밴드 돌파 n=53, k=3 |
6.1% | -32.4% | 0.35 | 0.19 | 1.4x | 14 | 22% |
| Parabolic SAR step=0.02, maxStep=0.24 |
2.7% | -49.9% | 0.26 | 0.05 | 1.2x | 126 | 44% |
| Buy and hold | 1.4% | -77.6% | 0.27 | 0.02 | 1.1x | 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 52-day average price crosses above the 152-day average
- Sell — Sell (to cash) when the 52-day average falls below the 152-day average