Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suzhou Zelgen Biopharmaceuticals Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Suzhou Zelgen Biopharmaceuticals Co. Ltd. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -24.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.0%, drawdown -80.2%).
Sharpe leader (same as main): Supertrend — CAGR 17.1%, MDD -54.7%, Sharpe 0.61, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 7.0%, MDD -24.6%, exposure 12%).
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=36, mult=4.9 |
17.1% | -54.7% | 0.61 | 0.31 | 2.8x | 16 | 51% |
| SMA 크로스오버 fast=49, slow=108 |
15.3% | -50.6% | 0.56 | 0.30 | 2.6x | 11 | 53% |
| Donchian 채널 돌파 entryN=29, exitN=30 |
10.6% | -52.1% | 0.46 | 0.20 | 1.9x | 21 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=12, mult=2.9 |
7.0% | -24.6% | 0.42 | 0.29 | 1.6x | 12 | 12% |
| ROC 모멘텀 n=97, threshold=-0.01 |
7.5% | -49.2% | 0.39 | 0.15 | 1.6x | 73 | 58% |
| EMA 크로스오버 fast=58, slow=66 |
7.0% | -56.4% | 0.37 | 0.12 | 1.6x | 13 | 54% |
| 볼린저 밴드 돌파 n=38, k=2.1 |
6.6% | -43.1% | 0.37 | 0.15 | 1.5x | 30 | 29% |
| MACD fast=19, slow=40, signal=15 |
6.0% | -49.7% | 0.35 | 0.12 | 1.5x | 74 | 48% |
| ADX / DI 방향성 period=23, threshold=33 |
2.7% | -19.4% | 0.24 | 0.14 | 1.2x | 8 | 5% |
| Parabolic SAR step=0.03, maxStep=0.06 |
-1.3% | -58.0% | 0.15 | -0.02 | 0.9x | 103 | 49% |
| Buy and hold | 7.0% | -80.2% | 0.40 | 0.09 | 1.6x | 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) — 36-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)