Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Haisco Pharmaceutical Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Haisco Pharmaceutical Group Co. Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.3%, MDD -49.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -74.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -49.0%, Sharpe 0.63, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 16.3%, MDD -49.0%, exposure 53%).
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=8, slow=50 |
16.3% | -49.0% | 0.63 | 0.33 | 9.1x | 82 | 53% |
| MACD fast=18, slow=57, signal=13 |
15.4% | -62.8% | 0.61 | 0.25 | 8.1x | 140 | 51% |
| ADX / DI 방향성 period=24, threshold=15 |
14.3% | -54.7% | 0.57 | 0.26 | 7.1x | 111 | 50% |
| EMA 크로스오버 fast=12, slow=36 |
12.7% | -58.6% | 0.53 | 0.22 | 5.7x | 89 | 53% |
| Supertrend period=21, mult=2.4 |
11.4% | -58.0% | 0.50 | 0.20 | 4.8x | 106 | 53% |
| Donchian 채널 돌파 entryN=34, exitN=56 |
10.5% | -72.5% | 0.46 | 0.14 | 4.3x | 39 | 64% |
| ROC 모멘텀 n=39, threshold=-0.04 |
7.9% | -74.1% | 0.40 | 0.11 | 3.0x | 195 | 63% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.5% | -71.4% | 0.39 | 0.10 | 2.9x | 114 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=1.6 |
6.8% | -49.2% | 0.37 | 0.14 | 2.6x | 88 | 40% |
| 볼린저 밴드 돌파 n=44, k=0.8 |
6.3% | -54.4% | 0.35 | 0.11 | 2.4x | 124 | 44% |
| Buy and hold | 16.6% | -74.8% | 0.58 | 0.22 | 9.4x | 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 8-day average price crosses above the 50-day average
- Sell — Sell (to cash) when the 8-day average falls below the 50-day average