Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Junshi Biosciences Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Junshi Biosciences Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -6.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.1%, drawdown -84.8%).
Sharpe leader (same as main): Supertrend — CAGR 2.5%, MDD -45.7%, Sharpe 0.26, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.6%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 0.1%, MDD -6.8%, exposure 1%).
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=29, mult=2 |
2.5% | -45.7% | 0.26 | 0.06 | 1.2x | 66 | 36% |
| Parabolic SAR step=0.015, maxStep=0.14 |
1.6% | -45.4% | 0.23 | 0.04 | 1.1x | 92 | 40% |
| Donchian 채널 돌파 entryN=17, exitN=28 |
0.1% | -49.1% | 0.21 | 0.00 | 1.0x | 30 | 46% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=20, mult=0.8 |
-2.0% | -49.1% | 0.09 | -0.04 | 0.9x | 90 | 20% |
| ADX / DI 방향성 period=38, threshold=28 |
0.1% | -6.8% | 0.05 | 0.02 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=22, slow=74 |
-5.9% | -64.6% | 0.03 | -0.09 | 0.7x | 21 | 41% |
| 볼린저 밴드 돌파 n=20, k=1.5 |
-5.4% | -44.1% | 0.01 | -0.12 | 0.7x | 62 | 28% |
| MACD fast=17, slow=26, signal=18 |
-8.6% | -69.0% | -0.03 | -0.12 | 0.6x | 76 | 52% |
| ROC 모멘텀 n=26, threshold=0.05 |
-8.6% | -65.9% | -0.10 | -0.13 | 0.6x | 92 | 31% |
| EMA 크로스오버 fast=57, slow=127 |
-10.4% | -71.4% | -0.24 | -0.15 | 0.5x | 9 | 24% |
| Buy and hold | -22.1% | -84.8% | -0.21 | -0.26 | 0.2x | 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) — 29-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)