Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hebei Changshan Biochemical Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hebei Changshan Biochemical Pharmaceutical Co., Ltd. Class A. 4 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 16.8%, MDD -52.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.9%, drawdown -79.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.8%, MDD -52.1%, Sharpe 0.61, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 16.8%, MDD -52.1%, exposure 28%).
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=58, k=1.9 |
16.8% | -52.1% | 0.61 | 0.32 | 10.3x | 52 | 28% |
| Donchian 채널 돌파 entryN=48, exitN=32 |
15.7% | -65.0% | 0.57 | 0.24 | 8.8x | 36 | 38% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=2.4 |
15.0% | -58.4% | 0.57 | 0.26 | 8.1x | 54 | 28% |
| ROC 모멘텀 n=109, threshold=-0.01 |
14.4% | -86.2% | 0.53 | 0.17 | 7.4x | 134 | 52% |
| MACD fast=14, slow=57, signal=17 |
12.8% | -71.4% | 0.51 | 0.18 | 6.1x | 163 | 50% |
| SMA 크로스오버 fast=31, slow=95 |
11.6% | -75.4% | 0.48 | 0.15 | 5.2x | 48 | 47% |
| Parabolic SAR step=0.02, maxStep=0.08 |
11.0% | -75.1% | 0.47 | 0.15 | 4.8x | 234 | 47% |
| EMA 크로스오버 fast=25, slow=193 |
10.7% | -84.5% | 0.46 | 0.13 | 4.6x | 26 | 48% |
| Supertrend period=12, mult=4.5 |
9.9% | -59.0% | 0.44 | 0.17 | 4.1x | 50 | 49% |
| ADX / DI 방향성 period=20, threshold=22 |
6.6% | -54.9% | 0.36 | 0.12 | 2.6x | 74 | 20% |
| Buy and hold | 12.9% | -79.1% | 0.50 | 0.16 | 6.1x | 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 58-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 58-day middle average