Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Simcere Pharmaceutical Group Limited backtest
10 trend-following strategies were compared on the full daily history of Simcere Pharmaceutical Group Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -10.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.1%, drawdown -64.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -61.3%, Sharpe 0.35, 87% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 2.8%p (CAGR 2.7%, MDD -10.7%, exposure 2%).
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=10, exitN=131 |
5.4% | -61.3% | 0.35 | 0.09 | 1.4x | 11 | 87% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=13, mult=4 |
2.7% | -10.7% | 0.34 | 0.25 | 1.2x | 2 | 2% |
| ROC 모멘텀 n=121, threshold=-0.1 |
3.3% | -65.0% | 0.30 | 0.05 | 1.2x | 57 | 60% |
| ADX / DI 방향성 period=15, threshold=31 |
3.7% | -29.2% | 0.28 | 0.13 | 1.2x | 14 | 8% |
| SMA 크로스오버 fast=56, slow=155 |
2.0% | -57.2% | 0.24 | 0.03 | 1.1x | 10 | 46% |
| MACD fast=11, slow=26, signal=18 |
1.0% | -52.8% | 0.22 | 0.02 | 1.1x | 84 | 48% |
| Supertrend period=28, mult=1.7 |
0.4% | -36.9% | 0.19 | 0.01 | 1.0x | 78 | 40% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-1.9% | -60.0% | 0.14 | -0.03 | 0.9x | 138 | 46% |
| 볼린저 밴드 돌파 n=17, k=0.8 |
-1.7% | -60.7% | 0.14 | -0.03 | 0.9x | 114 | 37% |
| EMA 크로스오버 fast=20, slow=83 |
-6.0% | -63.2% | 0.04 | -0.10 | 0.7x | 19 | 48% |
| Buy and hold | 0.1% | -64.0% | 0.26 | 0.00 | 1.0x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 131 days