Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sinopharm Group Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of Sinopharm Group Co., Ltd. Class H. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -15.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.1%, drawdown -67.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -15.2%, Sharpe 0.12, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 51.9%p (CAGR 0.6%, MDD -15.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=31, threshold=29 |
0.6% | -15.2% | 0.12 | 0.04 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=2.6 |
0.3% | -37.3% | 0.11 | 0.01 | 1.0x | 46 | 21% |
| Supertrend period=14, mult=3.4 |
-0.8% | -53.1% | 0.08 | -0.02 | 0.9x | 76 | 46% |
| 볼린저 밴드 돌파 n=54, k=1.9 |
-0.4% | -40.0% | 0.07 | -0.01 | 0.9x | 60 | 25% |
| Donchian 채널 돌파 entryN=11, exitN=53 |
-2.0% | -77.0% | 0.07 | -0.03 | 0.7x | 67 | 73% |
| SMA 크로스오버 fast=25, slow=63 |
-2.8% | -58.3% | -0.01 | -0.05 | 0.6x | 73 | 48% |
| MACD fast=11, slow=53, signal=16 |
-3.3% | -60.5% | -0.02 | -0.05 | 0.6x | 216 | 47% |
| EMA 크로스오버 fast=34, slow=65 |
-4.5% | -66.9% | -0.10 | -0.07 | 0.5x | 54 | 44% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-5.5% | -74.6% | -0.12 | -0.07 | 0.4x | 258 | 47% |
| ROC 모멘텀 n=37, threshold=0.22 |
-2.1% | -44.1% | -0.15 | -0.05 | 0.7x | 64 | 5% |
| Buy and hold | -1.1% | -67.1% | 0.13 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 31-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)