Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Betta Pharmaceuticals Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Betta Pharmaceuticals 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 15.7%, MDD -43.2%).

Data 2016-11-09 ~ 2026-07-31daily bars 2,361 (9.7 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 6.6%, drawdown -80.3%).

Sharpe leader (same as main): Supertrend — CAGR 15.7%, MDD -43.2%, Sharpe 0.63, 43% exposure.

Return/drawdown alternative: Supertrend — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 15.7%, MDD -43.2%, exposure 43%).

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=23, mult=2.2
15.7%-43.2%0.630.364.1x8243%
Parabolic SAR
step=0.005, maxStep=0.26
12.0%-55.0%0.510.223.0x7643%
볼린저 밴드 돌파
n=56, k=1
9.2%-54.0%0.450.172.4x4236%
Donchian 채널 돌파
entryN=114, exitN=79
7.3%-46.9%0.390.162.0x937%
ROC 모멘텀
n=20, threshold=0.02
5.5%-39.6%0.330.141.7x15841%
MACD
fast=29, slow=47, signal=15
5.0%-52.3%0.320.101.6x8247%
Keltner 채널 돌파
emaPeriod=9, atrPeriod=21, mult=2.1
3.8%-29.3%0.310.131.4x328%
SMA 크로스오버
fast=24, slow=175
2.3%-60.6%0.240.041.3x1545%
EMA 크로스오버
fast=24, slow=149
0.4%-68.4%0.180.011.0x2143%
ADX / DI 방향성
period=26, threshold=19
-3.0%-62.0%0.03-0.050.7x4729%
Buy and hold6.6%-80.3%0.380.081.9x1100%
1x 2017 2019 2021 2023 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2017 2019 2021 2023 2025 Buy and holdSupertrend
Supertrend maximum drawdown -43.2% (2024-10-08 → 2026-04-13), prior peak not yet recovered.

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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