Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hybio Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hybio Pharmaceutical Co., Ltd. Class A. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.3%, MDD -45.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.6%, drawdown -91.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.3%, MDD -45.7%, Sharpe 0.59, 21% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.2%, MDD -76.0%, exposure 65%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 15.3%, MDD -45.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=3.1 |
15.3% | -45.7% | 0.59 | 0.33 | 8.9x | 28 | 21% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=16, mult=4 |
15.3% | -46.9% | 0.59 | 0.33 | 9.0x | 24 | 23% |
| Donchian 채널 돌파 entryN=10, exitN=23 |
17.2% | -76.0% | 0.58 | 0.23 | 11.5x | 83 | 65% |
| Supertrend period=10, mult=2.1 |
11.8% | -79.8% | 0.48 | 0.15 | 5.5x | 162 | 49% |
| ADX / DI 방향성 period=16, threshold=26 |
11.0% | -51.1% | 0.48 | 0.21 | 5.0x | 70 | 28% |
| EMA 크로스오버 fast=7, slow=34 |
10.7% | -73.5% | 0.46 | 0.15 | 4.8x | 137 | 50% |
| ROC 모멘텀 n=24, threshold=-0.03 |
8.4% | -71.8% | 0.41 | 0.12 | 3.5x | 273 | 60% |
| SMA 크로스오버 fast=8, slow=57 |
8.2% | -73.5% | 0.40 | 0.11 | 3.4x | 87 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
7.6% | -69.8% | 0.39 | 0.11 | 3.1x | 125 | 51% |
| MACD fast=10, slow=46, signal=19 |
4.3% | -74.3% | 0.32 | 0.06 | 1.9x | 198 | 50% |
| Buy and hold | 12.6% | -91.4% | 0.50 | 0.14 | 6.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 48-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 48-day middle average