Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Zhongsheng Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Zhongsheng Pharmaceutical Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -34.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.9%, drawdown -73.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.6%, MDD -34.6%, Sharpe 0.56, 10% exposure.
CAGR reference leader: MACD — CAGR 12.0%, MDD -52.4%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 9.6%, MDD -34.6%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=17, mult=1.4 |
9.6% | -34.6% | 0.56 | 0.28 | 4.6x | 106 | 10% |
| MACD fast=12, slow=32, signal=13 |
12.0% | -52.4% | 0.51 | 0.23 | 6.6x | 220 | 51% |
| SMA 크로스오버 fast=8, slow=200 |
4.3% | -62.1% | 0.30 | 0.07 | 2.0x | 55 | 47% |
| Supertrend period=21, mult=2.1 |
4.3% | -69.3% | 0.30 | 0.06 | 2.0x | 184 | 41% |
| Donchian 채널 돌파 entryN=17, exitN=52 |
3.7% | -67.4% | 0.29 | 0.05 | 1.8x | 61 | 72% |
| 볼린저 밴드 돌파 n=55, k=2 |
3.2% | -56.4% | 0.26 | 0.06 | 1.7x | 63 | 29% |
| ROC 모멘텀 n=148, threshold=0.09 |
2.7% | -66.1% | 0.25 | 0.04 | 1.6x | 111 | 37% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.7% | -60.7% | 0.25 | 0.04 | 1.5x | 278 | 47% |
| EMA 크로스오버 fast=11, slow=127 |
2.3% | -67.3% | 0.24 | 0.03 | 1.5x | 65 | 47% |
| ADX / DI 방향성 period=20, threshold=34 |
1.6% | -27.5% | 0.19 | 0.06 | 1.3x | 16 | 4% |
| Buy and hold | 5.9% | -73.6% | 0.36 | 0.08 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 6-day average + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average