Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Livzon Pharmaceutical Group, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Livzon Pharmaceutical Group, Inc. Class A. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.4%, MDD -54.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.7%, drawdown -76.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -19.0%, Sharpe 0.51, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.4%, MDD -54.7%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 57.3%p (CAGR 11.4%, MDD -54.7%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=39 |
4.1% | -19.0% | 0.51 | 0.22 | 3.8x | 2 | 2% |
| SMA 크로스오버 fast=33, slow=154 |
11.4% | -54.7% | 0.50 | 0.21 | 34.5x | 58 | 51% |
| EMA 크로스오버 fast=51, slow=92 |
10.2% | -61.6% | 0.47 | 0.17 | 24.5x | 54 | 53% |
| Donchian 채널 돌파 entryN=95, exitN=92 |
9.6% | -63.6% | 0.45 | 0.15 | 20.2x | 40 | 57% |
| 볼린저 밴드 돌파 n=29, k=1.6 |
7.5% | -61.6% | 0.40 | 0.12 | 10.9x | 246 | 33% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=2.7 |
6.5% | -51.7% | 0.37 | 0.13 | 7.8x | 112 | 31% |
| Supertrend period=11, mult=3.7 |
6.8% | -69.5% | 0.37 | 0.10 | 8.8x | 146 | 54% |
| ROC 모멘텀 n=128, threshold=-0.02 |
6.3% | -77.0% | 0.35 | 0.08 | 7.4x | 274 | 55% |
| MACD fast=20, slow=48, signal=18 |
6.1% | -73.1% | 0.35 | 0.08 | 7.1x | 326 | 48% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.4% | -72.5% | 0.33 | 0.07 | 5.6x | 258 | 47% |
| Buy and hold | 7.7% | -76.3% | 0.39 | 0.10 | 11.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)