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; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 30.7%, drawdown -82.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 19.0%, MDD -77.8%, Sharpe 0.65, 49% exposure.
CAGR reference leader: Supertrend — CAGR 19.3%, MDD -49.5%, exposure 57%.
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.38 |
19.0% | -77.8% | 0.65 | 0.24 | 3.7x | 126 | 49% |
| Supertrend period=9, mult=4.1 |
19.3% | -49.5% | 0.65 | 0.39 | 3.8x | 29 | 57% |
| SMA 크로스오버 fast=47, slow=84 |
18.5% | -51.1% | 0.64 | 0.36 | 3.6x | 23 | 50% |
| ROC 모멘텀 n=142, threshold=0.01 |
17.8% | -46.7% | 0.63 | 0.38 | 3.4x | 25 | 48% |
| Donchian 채널 돌파 entryN=26, exitN=85 |
17.7% | -68.3% | 0.60 | 0.26 | 3.4x | 13 | 70% |
| MACD fast=10, slow=27, signal=17 |
13.8% | -65.3% | 0.54 | 0.21 | 2.6x | 100 | 48% |
| EMA 크로스오버 fast=10, slow=133 |
13.9% | -55.8% | 0.54 | 0.25 | 2.7x | 21 | 48% |
| 볼린저 밴드 돌파 n=25, k=2 |
12.1% | -44.7% | 0.53 | 0.27 | 2.4x | 51 | 32% |
| ADX / DI 방향성 period=32, threshold=11 |
8.4% | -73.9% | 0.41 | 0.11 | 1.8x | 61 | 52% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=27, mult=3.7 |
4.9% | -30.0% | 0.33 | 0.16 | 1.4x | 11 | 10% |
| Buy and hold | 30.7% | -82.6% | 0.78 | 0.37 | 7.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots