Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Genscript Biotech Corporation backtest
10 trend-following strategies were compared on the full daily history of Genscript Biotech Corporation. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 37.4%, MDD -55.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 35.5%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 44.4%, MDD -55.6%, Sharpe 0.99, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 37.4%, MDD -55.4%, exposure 41%).
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=10, slow=86 |
44.4% | -55.6% | 0.99 | 0.80 | 50.3x | 37 | 50% |
| 볼린저 밴드 돌파 n=30, k=1.4 |
37.3% | -60.4% | 0.93 | 0.62 | 29.3x | 79 | 37% |
| Supertrend period=26, mult=4.4 |
37.7% | -63.5% | 0.92 | 0.59 | 30.3x | 33 | 47% |
| ROC 모멘텀 n=152, threshold=0.08 |
37.4% | -55.4% | 0.91 | 0.68 | 29.8x | 63 | 41% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=1.3 |
34.9% | -61.0% | 0.89 | 0.57 | 24.5x | 75 | 37% |
| Donchian 채널 돌파 entryN=25, exitN=61 |
40.0% | -74.1% | 0.88 | 0.54 | 36.1x | 27 | 69% |
| EMA 크로스오버 fast=28, slow=42 |
36.7% | -74.1% | 0.88 | 0.50 | 28.2x | 41 | 50% |
| ADX / DI 방향성 period=37, threshold=19 |
23.6% | -45.0% | 0.77 | 0.52 | 9.6x | 25 | 20% |
| MACD fast=18, slow=46, signal=12 |
28.1% | -61.7% | 0.76 | 0.46 | 14.1x | 125 | 47% |
| Parabolic SAR step=0.015, maxStep=0.38 |
17.7% | -73.5% | 0.58 | 0.24 | 5.7x | 183 | 48% |
| Buy and hold | 35.5% | -80.4% | 0.79 | 0.44 | 25.5x | 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 10-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 10-day average falls below the 86-day average