Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Betta Pharmaceuticals Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Betta Pharmaceuticals Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.7%, MDD -43.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.6%, drawdown -80.3%).
Sharpe leader (same as main): Supertrend — CAGR 15.7%, MDD -43.2%, Sharpe 0.63, 43% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 15.7%, MDD -43.2%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=2.2 |
15.7% | -43.2% | 0.63 | 0.36 | 4.1x | 82 | 43% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.0% | -55.0% | 0.51 | 0.22 | 3.0x | 76 | 43% |
| 볼린저 밴드 돌파 n=56, k=1 |
9.2% | -54.0% | 0.45 | 0.17 | 2.4x | 42 | 36% |
| Donchian 채널 돌파 entryN=114, exitN=79 |
7.3% | -46.9% | 0.39 | 0.16 | 2.0x | 9 | 37% |
| ROC 모멘텀 n=20, threshold=0.02 |
5.5% | -39.6% | 0.33 | 0.14 | 1.7x | 158 | 41% |
| MACD fast=29, slow=47, signal=15 |
5.0% | -52.3% | 0.32 | 0.10 | 1.6x | 82 | 47% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=21, mult=2.1 |
3.8% | -29.3% | 0.31 | 0.13 | 1.4x | 32 | 8% |
| SMA 크로스오버 fast=24, slow=175 |
2.3% | -60.6% | 0.24 | 0.04 | 1.3x | 15 | 45% |
| EMA 크로스오버 fast=24, slow=149 |
0.4% | -68.4% | 0.18 | 0.01 | 1.0x | 21 | 43% |
| ADX / DI 방향성 period=26, threshold=19 |
-3.0% | -62.0% | 0.03 | -0.05 | 0.7x | 47 | 29% |
| Buy and hold | 6.6% | -80.3% | 0.38 | 0.08 | 1.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)