Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huadong Medicine Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huadong Medicine 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 14.0%, MDD -50.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.6%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -50.1%, Sharpe 0.59, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 14.0%, MDD -50.1%, exposure 59%).
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=59, slow=217 |
14.0% | -50.1% | 0.59 | 0.28 | 32.4x | 24 | 59% |
| EMA 크로스오버 fast=46, slow=205 |
11.9% | -60.2% | 0.52 | 0.20 | 19.7x | 28 | 60% |
| ROC 모멘텀 n=105, threshold=-0.09 |
9.5% | -65.9% | 0.44 | 0.14 | 11.0x | 176 | 74% |
| Parabolic SAR step=0.015, maxStep=0.02 |
7.5% | -53.5% | 0.40 | 0.14 | 6.8x | 145 | 52% |
| Donchian 채널 돌파 entryN=28, exitN=78 |
7.7% | -70.0% | 0.39 | 0.11 | 7.2x | 57 | 76% |
| Supertrend period=21, mult=3.6 |
5.9% | -64.0% | 0.35 | 0.09 | 4.6x | 109 | 55% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=1.9 |
4.9% | -51.2% | 0.32 | 0.10 | 3.6x | 126 | 37% |
| 볼린저 밴드 돌파 n=76, k=1.4 |
4.8% | -49.8% | 0.31 | 0.10 | 3.4x | 98 | 40% |
| ADX / DI 방향성 period=39, threshold=3 |
4.6% | -56.8% | 0.30 | 0.08 | 3.3x | 264 | 59% |
| MACD fast=36, slow=41, signal=22 |
0.4% | -66.7% | 0.15 | 0.01 | 1.1x | 225 | 51% |
| Buy and hold | 10.6% | -72.8% | 0.46 | 0.15 | 14.4x | 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 59-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 59-day average falls below the 217-day average