Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Shanghai Henlius Biotech, Inc. Class H backtest
10 trend-following strategies were compared on the full daily history of Shanghai Henlius Biotech, Inc. Class H. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -28.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.7%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.0%, MDD -38.4%, Sharpe 0.87, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.3%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 9.6%, MDD -28.4%, exposure 17%).
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=54, slow=283 |
27.0% | -38.4% | 0.87 | 0.70 | 5.1x | 4 | 37% |
| ADX / DI 방향성 period=32, threshold=20 |
18.7% | -34.4% | 0.80 | 0.55 | 3.2x | 16 | 21% |
| EMA 크로스오버 fast=71, slow=151 |
17.1% | -55.6% | 0.62 | 0.31 | 2.9x | 4 | 44% |
| 볼린저 밴드 돌파 n=77, k=2.8 |
12.8% | -39.0% | 0.58 | 0.33 | 2.3x | 10 | 22% |
| ROC 모멘텀 n=91, threshold=0.08 |
14.5% | -44.0% | 0.57 | 0.33 | 2.5x | 64 | 35% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=8, mult=3.3 |
9.6% | -28.4% | 0.50 | 0.34 | 1.9x | 12 | 17% |
| Supertrend period=19, mult=1.7 |
12.1% | -54.4% | 0.49 | 0.22 | 2.2x | 84 | 48% |
| MACD fast=6, slow=25, signal=18 |
8.3% | -76.2% | 0.40 | 0.11 | 1.7x | 124 | 46% |
| Donchian 채널 돌파 entryN=93, exitN=34 |
6.3% | -64.7% | 0.35 | 0.10 | 1.5x | 12 | 33% |
| Parabolic SAR step=0.02, maxStep=0.38 |
1.2% | -64.4% | 0.23 | 0.02 | 1.1x | 138 | 48% |
| Buy and hold | 1.7% | -85.0% | 0.31 | 0.02 | 1.1x | 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 54-day average price crosses above the 283-day average
- Sell — Sell (to cash) when the 54-day average falls below the 283-day average