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 12.8%, MDD -43.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.2%, drawdown -80.3%).
Sharpe leader (same as main): Supertrend — CAGR 12.8%, MDD -43.2%, Sharpe 0.54, 43% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 12.8%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=2.2 |
12.8% | -43.2% | 0.54 | 0.30 | 3.3x | 84 | 43% |
| Parabolic SAR step=0.005, maxStep=0.26 |
11.9% | -55.0% | 0.50 | 0.22 | 3.0x | 76 | 42% |
| 볼린저 밴드 돌파 n=56, k=1 |
6.5% | -54.0% | 0.36 | 0.12 | 1.8x | 44 | 36% |
| Donchian 채널 돌파 entryN=114, exitN=79 |
5.8% | -46.9% | 0.34 | 0.12 | 1.7x | 9 | 37% |
| MACD fast=29, slow=47, signal=15 |
2.9% | -52.3% | 0.26 | 0.05 | 1.3x | 84 | 47% |
| ROC 모멘텀 n=20, threshold=0.02 |
2.8% | -44.4% | 0.25 | 0.06 | 1.3x | 162 | 41% |
| SMA 크로스오버 fast=24, slow=175 |
1.0% | -60.6% | 0.20 | 0.02 | 1.1x | 15 | 45% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=21, mult=2.1 |
1.2% | -42.7% | 0.16 | 0.03 | 1.1x | 34 | 9% |
| EMA 크로스오버 fast=24, slow=149 |
-0.9% | -68.4% | 0.14 | -0.01 | 0.9x | 21 | 44% |
| ADX / DI 방향성 period=26, threshold=19 |
-4.2% | -62.0% | -0.00 | -0.07 | 0.7x | 48 | 29% |
| Buy and hold | 5.2% | -80.3% | 0.35 | 0.06 | 1.6x | 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) — 23-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)