Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Hengrui Pharmaceuticals Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Hengrui Pharmaceuticals Co., Ltd. Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.2%, MDD -41.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.4%, drawdown -71.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.2%, MDD -41.4%, Sharpe 0.85, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 22.2%, MDD -41.4%, exposure 68%).
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=44, slow=290 |
22.2% | -41.4% | 0.85 | 0.54 | 177.1x | 18 | 68% |
| EMA 크로스오버 fast=51, slow=233 |
20.6% | -46.3% | 0.80 | 0.44 | 126.0x | 18 | 70% |
| ROC 모멘텀 n=169, threshold=-0.08 |
16.5% | -48.6% | 0.67 | 0.34 | 52.5x | 152 | 75% |
| Donchian 채널 돌파 entryN=10, exitN=76 |
14.9% | -58.4% | 0.60 | 0.26 | 36.5x | 65 | 87% |
| MACD fast=22, slow=51, signal=38 |
11.9% | -40.9% | 0.59 | 0.29 | 18.4x | 164 | 50% |
| 볼린저 밴드 돌파 n=74, k=1.1 |
11.3% | -56.2% | 0.56 | 0.20 | 16.0x | 106 | 49% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=27, mult=2.1 |
9.9% | -43.9% | 0.53 | 0.23 | 11.5x | 104 | 43% |
| Supertrend period=9, mult=3.4 |
10.8% | -54.0% | 0.52 | 0.20 | 14.2x | 112 | 61% |
| Parabolic SAR step=0.005, maxStep=0.36 |
8.9% | -44.8% | 0.47 | 0.20 | 9.1x | 214 | 53% |
| ADX / DI 방향성 period=37, threshold=21 |
5.1% | -34.1% | 0.39 | 0.15 | 3.6x | 56 | 17% |
| Buy and hold | 18.4% | -71.1% | 0.67 | 0.26 | 79.1x | 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 44-day average price crosses above the 290-day average
- Sell — Sell (to cash) when the 44-day average falls below the 290-day average