Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Pharmaron Beijing Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Pharmaron Beijing Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 33.2%, drawdown -82.6%).
Sharpe leader (same as main): Supertrend — CAGR 21.7%, MDD -49.5%, Sharpe 0.69, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=9, mult=4.1 |
21.7% | -49.5% | 0.69 | 0.44 | 4.4x | 29 | 57% |
| SMA 크로스오버 fast=47, slow=84 |
20.8% | -51.1% | 0.69 | 0.41 | 4.2x | 23 | 51% |
| ROC 모멘텀 n=142, threshold=0.01 |
20.2% | -46.7% | 0.68 | 0.43 | 4.0x | 25 | 48% |
| Parabolic SAR step=0.015, maxStep=0.38 |
20.5% | -77.8% | 0.68 | 0.26 | 4.1x | 128 | 49% |
| Donchian 채널 돌파 entryN=26, exitN=85 |
20.0% | -68.3% | 0.65 | 0.29 | 4.0x | 13 | 70% |
| 볼린저 밴드 돌파 n=25, k=2 |
14.4% | -44.7% | 0.59 | 0.32 | 2.8x | 52 | 32% |
| EMA 크로스오버 fast=10, slow=133 |
16.2% | -55.8% | 0.59 | 0.29 | 3.1x | 21 | 48% |
| MACD fast=10, slow=27, signal=17 |
13.4% | -65.3% | 0.53 | 0.20 | 2.6x | 102 | 48% |
| ADX / DI 방향성 period=32, threshold=11 |
10.6% | -73.9% | 0.46 | 0.14 | 2.1x | 61 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=27, mult=3.7 |
7.2% | -30.0% | 0.42 | 0.24 | 1.7x | 12 | 11% |
| Buy and hold | 33.2% | -82.6% | 0.81 | 0.40 | 8.8x | 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) — 9-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)