Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai RAAS Blood Products Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai RAAS Blood Products Co., Ltd. Class A. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 15.5%, MDD -34.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.3%, drawdown -83.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.5%, MDD -34.4%, Sharpe 0.76, 31% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.0%, MDD -51.7%, exposure 92%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 15.5%, MDD -34.4%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=133, threshold=0.13 |
15.5% | -34.4% | 0.76 | 0.45 | 13.7x | 68 | 31% |
| EMA 크로스오버 fast=73, slow=100 |
15.9% | -53.4% | 0.73 | 0.30 | 14.8x | 20 | 47% |
| SMA 크로스오버 fast=34, slow=169 |
14.2% | -46.7% | 0.68 | 0.30 | 11.2x | 26 | 45% |
| ADX / DI 방향성 period=51, threshold=24 |
9.4% | -36.8% | 0.67 | 0.25 | 5.1x | 14 | 14% |
| Donchian 채널 돌파 entryN=7, exitN=88 |
18.0% | -51.7% | 0.65 | 0.35 | 20.5x | 35 | 92% |
| Parabolic SAR step=0.005, maxStep=0.22 |
12.8% | -41.9% | 0.56 | 0.31 | 9.0x | 108 | 46% |
| Supertrend period=27, mult=4.4 |
8.1% | -61.9% | 0.44 | 0.13 | 4.2x | 53 | 44% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=33, mult=3.2 |
6.0% | -56.0% | 0.40 | 0.11 | 2.9x | 46 | 24% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
5.4% | -57.3% | 0.35 | 0.09 | 2.6x | 76 | 31% |
| MACD fast=18, slow=37, signal=14 |
5.0% | -54.0% | 0.32 | 0.09 | 2.4x | 198 | 51% |
| Buy and hold | 12.3% | -83.3% | 0.50 | 0.15 | 8.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 133-day return is greater than 13%
- Sell — Sell when the 133-day return drops to 13% or below