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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Walvax Biotechnology Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Walvax Biotechnology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -46.1%).

Data 2010-11-12 ~ 2026-08-31daily bars 3,836 (15.8 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR 2.1%, drawdown -89.5%).

Sharpe leader (same as main): Supertrend — CAGR 14.2%, MDD -49.2%, Sharpe 0.59, 46% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 5.4%, MDD -46.1%, exposure 21%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=17, mult=3.2
14.2%-49.2%0.590.298.1x7946%
SMA 크로스오버
fast=33, slow=114
10.9%-64.9%0.500.175.1x4346%
Parabolic SAR
step=0.005, maxStep=0.06
10.9%-59.6%0.490.185.1x10550%
MACD
fast=24, slow=64, signal=20
9.6%-74.7%0.450.134.2x11154%
볼린저 밴드 돌파
n=39, k=2.5
7.7%-50.1%0.430.153.2x4721%
EMA 크로스오버
fast=37, slow=118
8.5%-66.7%0.420.133.6x2348%
Donchian 채널 돌파
entryN=24, exitN=16
6.0%-69.9%0.350.092.5x7941%
Keltner 채널 돌파
emaPeriod=15, atrPeriod=20, mult=1.6
5.4%-46.1%0.350.122.3x10121%
ROC 모멘텀
n=26, threshold=0
3.9%-76.6%0.280.051.8x26947%
ADX / DI 방향성
period=17, threshold=20
2.3%-61.2%0.220.041.4x11933%
Buy and hold2.1%-89.5%0.270.021.4x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -45% -67% -89% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdSupertrend
Supertrend maximum drawdown -49.2% (2021-08-05 → 2024-03-26), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupMore CN assetsAll asset reports

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