Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sino Biological Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Sino Biological Inc. Class A. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.4%, MDD -26.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.7%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.9%, MDD -27.3%, Sharpe 0.30, 5% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.6%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR 1.4%, MDD -26.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=10 |
3.9% | -27.3% | 0.30 | 0.14 | 1.2x | 4 | 5% |
| MACD fast=7, slow=46, signal=12 |
3.1% | -46.9% | 0.26 | 0.07 | 1.2x | 80 | 50% |
| ROC 모멘텀 n=89, threshold=0.19 |
2.2% | -29.9% | 0.21 | 0.07 | 1.1x | 15 | 5% |
| Parabolic SAR step=0.035, maxStep=0.12 |
1.0% | -52.5% | 0.19 | 0.02 | 1.1x | 116 | 44% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
1.4% | -26.8% | 0.17 | 0.05 | 1.1x | 12 | 5% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=8, mult=1.6 |
1.1% | -33.5% | 0.16 | 0.03 | 1.1x | 20 | 7% |
| ADX / DI 방향성 period=19, threshold=19 |
-1.7% | -48.5% | 0.08 | -0.03 | 0.9x | 31 | 28% |
| Supertrend period=27, mult=3.7 |
-2.9% | -48.1% | 0.08 | -0.06 | 0.9x | 24 | 35% |
| EMA 크로스오버 fast=27, slow=218 |
-1.4% | -35.1% | 0.03 | -0.04 | 0.9x | 5 | 17% |
| SMA 크로스오버 fast=16, slow=182 |
-3.3% | -42.3% | -0.03 | -0.08 | 0.8x | 13 | 23% |
| Buy and hold | -17.7% | -83.2% | -0.24 | -0.21 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 10 days