Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CSPC Pharmaceutical Group Limited backtest
10 trend-following strategies were compared on the full daily history of CSPC Pharmaceutical Group Limited. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.7%, MDD -52.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.6%, drawdown -79.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.7%, MDD -52.3%, Sharpe 0.54, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 12.7%, MDD -52.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=1.1 |
12.7% | -52.3% | 0.54 | 0.24 | 16.3x | 135 | 43% |
| Supertrend period=22, mult=4.6 |
11.6% | -58.4% | 0.50 | 0.20 | 12.8x | 65 | 53% |
| SMA 크로스오버 fast=23, slow=70 |
10.2% | -58.2% | 0.46 | 0.17 | 9.6x | 85 | 52% |
| Donchian 채널 돌파 entryN=98, exitN=55 |
8.9% | -61.7% | 0.44 | 0.14 | 7.3x | 30 | 38% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=0.9 |
9.3% | -55.7% | 0.44 | 0.17 | 7.9x | 181 | 44% |
| EMA 크로스오버 fast=54, slow=201 |
7.9% | -73.8% | 0.40 | 0.11 | 5.9x | 31 | 50% |
| MACD fast=23, slow=46, signal=13 |
7.9% | -54.2% | 0.40 | 0.15 | 5.9x | 259 | 51% |
| ROC 모멘텀 n=39, threshold=0.01 |
7.3% | -66.6% | 0.38 | 0.11 | 5.2x | 337 | 51% |
| ADX / DI 방향성 period=36, threshold=16 |
5.5% | -54.7% | 0.34 | 0.10 | 3.5x | 103 | 29% |
| Parabolic SAR step=0.03, maxStep=0.06 |
3.6% | -69.5% | 0.27 | 0.05 | 2.3x | 367 | 49% |
| Buy and hold | 9.6% | -79.1% | 0.43 | 0.12 | 8.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 50-day middle average