Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen New Industries Biomedical Engineering Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen New Industries Biomedical Engineering Co. Ltd. Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.9%, MDD -23.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.4%, drawdown -69.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.9%, MDD -23.8%, Sharpe 0.81, 2% exposure.
CAGR reference leader: Parabolic SAR — CAGR 19.2%, MDD -51.6%, exposure 43%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 45.3%p (CAGR 11.9%, MDD -23.8%, exposure 2%).
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=4, threshold=0.13 |
11.9% | -23.8% | 0.81 | 0.50 | 2.0x | 26 | 2% |
| Parabolic SAR step=0.005, maxStep=0.26 |
19.2% | -51.6% | 0.71 | 0.37 | 3.1x | 50 | 43% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=9, mult=4 |
6.8% | -12.4% | 0.68 | 0.54 | 1.5x | 2 | 2% |
| Supertrend period=3, mult=1.7 |
12.5% | -66.1% | 0.52 | 0.19 | 2.1x | 86 | 52% |
| ADX / DI 방향성 period=35, threshold=37 |
1.4% | -6.1% | 0.37 | 0.22 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=31, k=2.2 |
3.3% | -28.7% | 0.26 | 0.11 | 1.2x | 22 | 19% |
| SMA 크로스오버 fast=58, slow=159 |
-1.5% | -38.2% | 0.04 | -0.04 | 0.9x | 11 | 37% |
| EMA 크로스오버 fast=23, slow=190 |
-3.3% | -44.3% | -0.04 | -0.07 | 0.8x | 10 | 33% |
| MACD fast=19, slow=55, signal=19 |
-5.6% | -58.5% | -0.06 | -0.10 | 0.7x | 58 | 44% |
| Donchian 채널 돌파 entryN=104, exitN=47 |
-4.8% | -50.7% | -0.17 | -0.10 | 0.7x | 8 | 22% |
| Buy and hold | 12.4% | -69.1% | 0.49 | 0.18 | 2.1x | 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 4-day return is greater than 13%
- Sell — Sell when the 4-day return drops to 13% or below