Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sino Biopharmaceutical Limited backtest
10 trend-following strategies were compared on the full daily history of Sino Biopharmaceutical Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.7%, MDD -46.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 19.2%, drawdown -78.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.9%, MDD -53.3%, Sharpe 0.77, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 20.7%, MDD -46.8%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=36, slow=191 |
21.9% | -53.3% | 0.77 | 0.41 | 81.9x | 32 | 56% |
| Donchian 채널 돌파 entryN=103, exitN=69 |
20.8% | -57.9% | 0.76 | 0.36 | 66.8x | 22 | 48% |
| EMA 크로스오버 fast=36, slow=158 |
20.7% | -46.8% | 0.73 | 0.44 | 65.5x | 30 | 57% |
| Supertrend period=18, mult=5 |
16.4% | -69.0% | 0.62 | 0.24 | 29.3x | 51 | 57% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=26, mult=2.7 |
14.3% | -55.4% | 0.62 | 0.26 | 19.3x | 64 | 35% |
| ROC 모멘텀 n=101, threshold=0.12 |
14.3% | -64.9% | 0.60 | 0.22 | 19.5x | 168 | 40% |
| 볼린저 밴드 돌파 n=48, k=1.8 |
14.0% | -58.5% | 0.60 | 0.24 | 18.5x | 102 | 38% |
| ADX / DI 방향성 period=35, threshold=25 |
8.3% | -27.8% | 0.56 | 0.30 | 5.9x | 22 | 10% |
| MACD fast=19, slow=47, signal=16 |
4.6% | -66.7% | 0.30 | 0.07 | 2.7x | 255 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
3.7% | -66.7% | 0.28 | 0.06 | 2.3x | 350 | 51% |
| Buy and hold | 19.2% | -78.5% | 0.62 | 0.24 | 49.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 36-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 36-day average falls below the 191-day average