Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Harbin Pharmaceutical Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Harbin Pharmaceutical Group Co., Ltd. Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.0%, MDD -58.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.3%, drawdown -88.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -74.1%, Sharpe 0.47, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 6.0%, MDD -58.8%, exposure 16%).
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=36, slow=259 |
10.0% | -74.1% | 0.47 | 0.13 | 23.6x | 33 | 48% |
| Supertrend period=29, mult=4.2 |
9.0% | -72.0% | 0.44 | 0.13 | 17.7x | 117 | 45% |
| Donchian 채널 돌파 entryN=74, exitN=45 |
8.3% | -77.3% | 0.42 | 0.11 | 14.2x | 55 | 39% |
| EMA 크로스오버 fast=42, slow=156 |
8.3% | -85.2% | 0.42 | 0.10 | 13.9x | 35 | 48% |
| 볼린저 밴드 돌파 n=44, k=2.6 |
7.6% | -63.4% | 0.41 | 0.12 | 11.3x | 107 | 23% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=24, mult=2.8 |
6.0% | -58.8% | 0.36 | 0.10 | 6.9x | 109 | 16% |
| ROC 모멘텀 n=113, threshold=0.08 |
5.4% | -82.6% | 0.33 | 0.07 | 5.7x | 273 | 36% |
| Parabolic SAR step=0.005, maxStep=0.4 |
4.1% | -69.3% | 0.28 | 0.06 | 3.8x | 231 | 45% |
| ADX / DI 방향성 period=24, threshold=15 |
4.0% | -87.3% | 0.28 | 0.05 | 3.7x | 271 | 38% |
| MACD fast=8, slow=32, signal=13 |
2.3% | -85.5% | 0.23 | 0.03 | 2.2x | 572 | 52% |
| Buy and hold | 2.3% | -88.5% | 0.27 | 0.03 | 2.1x | 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 36-day average price crosses above the 259-day average
- Sell — Sell (to cash) when the 36-day average falls below the 259-day average