Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sichuan Kelun Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sichuan Kelun Pharmaceutical Co., Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -58.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -50.1%, Sharpe 0.37, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=35, slow=83 |
6.4% | -50.1% | 0.37 | 0.13 | 2.7x | 51 | 53% |
| Donchian 채널 돌파 entryN=25, exitN=50 |
6.2% | -48.1% | 0.36 | 0.13 | 2.6x | 43 | 66% |
| Supertrend period=11, mult=4.9 |
3.9% | -61.6% | 0.28 | 0.06 | 1.9x | 43 | 60% |
| EMA 크로스오버 fast=44, slow=83 |
3.0% | -48.5% | 0.25 | 0.06 | 1.6x | 37 | 52% |
| ROC 모멘텀 n=96, threshold=0 |
2.3% | -58.2% | 0.22 | 0.04 | 1.4x | 151 | 50% |
| ADX / DI 방향성 period=26, threshold=39 |
0.9% | -12.0% | 0.20 | 0.07 | 1.2x | 2 | 1% |
| 볼린저 밴드 돌파 n=52, k=0.7 |
0.4% | -66.0% | 0.15 | 0.01 | 1.1x | 129 | 46% |
| MACD fast=12, slow=89, signal=12 |
-1.1% | -67.9% | 0.09 | -0.02 | 0.8x | 202 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=2.7 |
-1.8% | -57.8% | 0.01 | -0.03 | 0.7x | 53 | 26% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.6% | -83.3% | -0.07 | -0.07 | 0.4x | 138 | 52% |
| Buy and hold | 6.8% | -58.9% | 0.37 | 0.12 | 2.9x | 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 35-day average price crosses above the 83-day average
- Sell — Sell (to cash) when the 35-day average falls below the 83-day average