Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.9%, MDD -48.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.0%, drawdown -77.9%).
Sharpe leader (same as main): Supertrend — CAGR 19.9%, MDD -48.6%, Sharpe 0.80, 50% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.8%, MDD -54.4%, exposure 63%.
Return/drawdown alternative: Supertrend — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 19.9%, MDD -48.6%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=3.7 |
19.9% | -48.6% | 0.80 | 0.41 | 66.7x | 99 | 50% |
| SMA 크로스오버 fast=41, slow=425 |
22.8% | -54.4% | 0.80 | 0.42 | 114.7x | 8 | 63% |
| EMA 크로스오버 fast=37, slow=334 |
21.9% | -54.4% | 0.78 | 0.40 | 97.3x | 10 | 64% |
| Donchian 채널 돌파 entryN=28, exitN=72 |
19.6% | -59.5% | 0.71 | 0.33 | 63.3x | 45 | 74% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=1 |
16.3% | -52.4% | 0.69 | 0.31 | 32.9x | 187 | 46% |
| 볼린저 밴드 돌파 n=54, k=1 |
15.2% | -42.6% | 0.66 | 0.36 | 26.2x | 129 | 46% |
| ROC 모멘텀 n=58, threshold=-0.06 |
16.0% | -74.5% | 0.63 | 0.22 | 31.1x | 229 | 70% |
| ADX / DI 방향성 period=37, threshold=8 |
13.1% | -55.3% | 0.57 | 0.24 | 17.1x | 233 | 56% |
| Parabolic SAR step=0.01, maxStep=0.36 |
11.9% | -62.4% | 0.55 | 0.19 | 13.5x | 286 | 50% |
| MACD fast=19, slow=23, signal=11 |
11.1% | -74.9% | 0.52 | 0.15 | 11.5x | 327 | 50% |
| Buy and hold | 18.0% | -77.9% | 0.63 | 0.23 | 46.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)