Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Allist Pharmaceuticals Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Allist Pharmaceuticals Co. Ltd. Class A. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 25.5%, MDD -35.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 20.2%, drawdown -59.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.4%, MDD -40.3%, Sharpe 0.90, 64% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 25.5%, MDD -35.8%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=200, threshold=-0.05 |
30.4% | -40.3% | 0.90 | 0.75 | 4.6x | 17 | 64% |
| Supertrend period=20, mult=4.5 |
25.5% | -35.8% | 0.77 | 0.71 | 3.7x | 17 | 63% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=17, mult=2.4 |
12.3% | -19.0% | 0.75 | 0.65 | 2.0x | 20 | 9% |
| Donchian 채널 돌파 entryN=9, exitN=28 |
20.9% | -50.0% | 0.67 | 0.42 | 3.0x | 31 | 68% |
| Parabolic SAR step=0.025, maxStep=0.2 |
17.9% | -41.2% | 0.65 | 0.43 | 2.6x | 116 | 48% |
| SMA 크로스오버 fast=32, slow=175 |
17.1% | -37.8% | 0.64 | 0.45 | 2.5x | 9 | 60% |
| 볼린저 밴드 돌파 n=9, k=2.2 |
13.6% | -25.8% | 0.62 | 0.53 | 2.1x | 56 | 18% |
| MACD fast=8, slow=29, signal=9 |
16.1% | -39.6% | 0.61 | 0.41 | 2.4x | 102 | 43% |
| ADX / DI 방향성 period=9, threshold=16 |
12.8% | -45.2% | 0.51 | 0.28 | 2.0x | 128 | 55% |
| EMA 크로스오버 fast=20, slow=153 |
11.1% | -37.3% | 0.49 | 0.30 | 1.8x | 11 | 57% |
| Buy and hold | 20.2% | -59.9% | 0.63 | 0.34 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 200-day return is greater than -5%
- Sell — Sell when the 200-day return drops to -5% or below